Fast iterative solutions of Riccati and Lyapunov equations

DOI10.1515/math-2022-0546zbMath1522.65058MaRDI QIDQ6049679

Nicholas Assimakis, Maria Adam

Publication date: 15 September 2023

Published in: Open Mathematics (Search for Journal in Brave)

zbMATH Keywords

Lyapunov equationKalman filterRiccati equationsteady state

Mathematics Subject Classification ID

Numerical methods for matrix equations (65F45)

Cites Work

• A new computationally effective algorithm for solving the discrete Riccati equation
• New upper and lower bounds, the iteration algorithm for the solution of the discrete algebraic Riccati equation
• A characterization of solutions of the discrete-time algebraic Riccati equation based on quadratic difference forms
• Iterative matrix bounds and computational solutions to the discrete algebraic Riccati equation
• A survey of recursive algorithms for the solution of the discrete time Riccati Equation
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