A method to solve the discrete-time coupled algebraic Riccati equations (Q2379021)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A method to solve the discrete-time coupled algebraic Riccati equations |
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A method to solve the discrete-time coupled algebraic Riccati equations (English)
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14 January 2009
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The solution of a set of discrete-time coupled algebraic Riccati equations is considered. At first the system is transformed into another system of Riccati equations. Then, two iterative methods for computing a symmetric solution of this system are proposed. In each iteration step one has to solve a Stein equation. Convergence properties of the proposed algorithms are proved. Finally, some numerical examples are given.
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set of discrete-time Riccati equations
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jump systems
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Stein equation
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iterative method
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symmetric solution
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convergence
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algorithms
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numerical examples
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