A Generalized Eigenvalue Approach for Solving Riccati Equations

DOI10.1137/0902010MaRDI QIDQ3914321zbMATH OpenOpenAlexFDO

Authors Paul van Dooren

Publication date 1981

Published in SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0902010

zbMATH Keywords

algebraic Riccati equationsgeneralized eigenvalue problemQZ algorithmreordering of the eigenvaluessingular casesspectral factorization

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical optimization and variational techniques (65K10)

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• The linear-quadratic optimal regulator for descriptor systems: Discrete- time case
• A stabilization algorithm for a class of uncertain linear systems
• On the numerical properties of the Schur approach for solving the matrix Riccati equation
• Linear quadratic optimal control for discrete descriptor systems
• A new method for computing the closed-loop eigenvalues of a discrete-time algebraic Riccati equation
• A systolic algorithm for Riccati and Lyapunov equations
• Spectral factorization via Hermitian pencils
• \(H_ \infty\) control problem with j\(\omega\)-axis zeros
• On computing the stabilizing solution of the discrete-time Riccati equation
• An iterative algorithm for the solution of the discrete-time algebraic Riccati equation
• Parallel algorithm for solving some spectral problems of linear algebra
• On computing the eigenvalues of a symplectic pencil
• Positive and negative solutions of dual Riccati equations by matrix sign function iteration
• Singular filtering problems
• Computational aspects of the open-loop Nash equilibrium in linear quadratic games
• Sensitivity analysis of the discrete-time algebraic Riccati equation
• Continuous and discrete-time Riccati theory: A Popov-function approach
• A spectral factorization algorithm for discrete-time descriptor systems via generalized eigenproblems
• Proper deflating subspaces: Properties, algorithms and applications
• Relationships between discrete-time and continuous-time algebraic Riccati inequalities
• A new method for computing the stable invariant subspace of a real Hamiltonian matrix
• Computation of coprime factorizations of rational matrices
• Methods and algorithms of solving spectral problems for polynomial and rational matrices
• Canonical \({\mathcal H}_\infty\) state-space parametrization
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• Eigenvalue computation in the 20th century
• Numerical methods in control
• Numerical methods and questions in the organization of calculus. XII. Transl. from the Russian
• An implicit filter for rational Krylov using core transformations
• Simultaneous decomposition of quaternion matrices involving -Hermicity with applications
• Robust stabilization of discrete generalized systems
• Computing eigenspaces with specified eigenvalues of a regular matrix pair (A,B) and condition estimation: Theory, algorithms and software
• Stabilizing solution to the reverse discrete-time Riccati equation: A matrix-pencil-based approach
• How to decompose semi-definite discrete-time algebraic Riccati equations
• On the semigroup of standard symplectic matrices and its applications
• A step toward a unified treatment of continuous and discrete time control problems
• Swapping \(2 \times 2\) blocks in the Schur and generalized Schur form
• Pole-swapping algorithms for alternating and palindromic eigenvalue problems
• A structure-preserving method for positive realness problem in control
• In between the \(LQG/H_2\)- and \(H_{\infty } \)-control theories
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• Statistical arbitrage for multiple co-integrated stocks
• An extended block Golub-Kahan algorithm for large algebraic and differential matrix Riccati equations
• On pole-swapping algorithms for the eigenvalue problem
• Transient performance improvement in model reference adaptive control using \(H_\infty\) optimal method
• On discrete algebraic Riccati equations: a rank characterization of solutions
• Rational spectral factorization using state-space methods
• Transformations between discrete-time and continuous-time algebraic Riccati equations
• On the convergence of inexact Newton methods for discrete-time algebraic Riccati equations
• A cutting plane method for solving KYP-SDPs
• An Arnoldi based algorithm for large algebraic Riccati equations
• A characterization of solutions of the discrete-time algebraic Riccati equation based on quadratic difference forms
• Achievable \(H^{\infty }\) performance in sampled-data smoothing: beyond the \(||\tilde D_1||\)-barrier
• \((J,J')\)-spectral factorization and conjugation for discrete-time descriptor system
• Revisiting the (block) Jacobi subspace rotation method for the symmetric eigenvalue problem
• Guaranteed level-γ ℋ _∞ control in uncertain linear systems via linear matrix inequalities
• ℋ_∞output feedback control for linear discrete time-varying systems via the bounded real lemma
• On solving periodic Riccati equations
• A hamiltonian formulation of risk-sensitive Linear/quadratic/gaussian control
• Continuous-time non-symmetric algebraic Riccati theory: a matrix pencil approach
• State-space approach to discrete-time,_ℋ∞control
• Parallel algorithms for algebraic Riccati equations
• An implicitly-restarted Krylov subspace method for real symmetric/skew-symmetric eigenproblems
• Solution of Lyapunov and Riccati equations in a multiprocessor environment
• J -lossless and extended J -lossless factorizations approach for @-domain H ∞ control
• Robust H∞ controller design for time-varying uncertain linear systems with time-varying state and control delays
• Low-rank approximate solutions to large-scale differential matrix Riccati equations
• Structure-Preserving Algorithms for Periodic Discrete-Time Algebraic Riccati Equations
• A stabilization algorithm of the Navier-Stokes equations based on algebraic Bernoulli equation
• Shapley-Snow kernels, multiparameter eigenvalue problems, and stochastic games
• A multishift, multipole rational QZ method with aggressive early deflation
• Computational Experience with a Modified Newton Solver for Discrete-Time Algebraic Riccati Equations
• Strongly minimal self-conjugate linearizations for polynomial and rational matrices
• Closed-form solutions of singular KYP lemma: strongly passive systems, and fast lossless trajectories
• Nonlinear least-squares approach for large-scale algebraic Riccati equations
• A rational QZ method
• A numerical toolbox to solve \(N\)-player affine LQ open-loop differential games
• A structure-preserving doubling algorithm for Lur'e equations.
• Optimal Singular LQR Problem: A PD Feedback Solution
• Imaginary axis eigenvalues of Hamiltonian matrix: controllability, defectiveness and the ϵ-characteristic
• An invariant subspace method for large-scale algebraic Riccati equation
• Perturbation theory of structured matrix pencils with no spillover
• A population model‐based linear‐quadratic Gaussian compensator for the control of intravenously infused alcohol studies and withdrawal symptom prophylaxis using transdermal sensing
• Iterative and doubling algorithms for Riccati‐type matrix equations: A comparative introduction
• Inheritance properties of the conjugate discrete-time algebraic Riccati equation
• Eigenvalue characterization of some structured matrix pencils under linear perturbation
• Extraction of deflating subspaces using disk function of a matrix pencil via matrix sign function with application in generalized eigenvalue problem
• Block Arnoldi-based methods for large scale discrete-time algebraic Riccati equations
• Four extremal solutions of discrete-time algebraic Riccati equations: existence theorems and computation
• On stabilization methods of descriptor systems
• Robust memoryless \(H_ \infty\) controller design for linear time-delay systems with norm-bounded time-varying uncertainty
• Constructing Sobolev orthonormal rational functions via an updating procedure
• Interpretable gradient descent for the Kalman gain
• Time-varying generalized Schur decomposition via the zeroing neural dynamics and its applications
• Factorization of a rational matrix: The singular case
• Inner-outer factorization for strictly proper functions with j\(\omega\)- axis zeros
• On equivalence of pencils from discrete-time and continuous-time control
• A numerical method for computing the Hamiltonian Schur form
• Algorithms for computing Nash equilibria in deterministic LQ games

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