On the matrix-sign-function method for solving algebraic Riccati equations (Q1126566)
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scientific article; zbMATH DE number 1183147
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| English | On the matrix-sign-function method for solving algebraic Riccati equations |
scientific article; zbMATH DE number 1183147 |
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On the matrix-sign-function method for solving algebraic Riccati equations (English)
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19 January 1999
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In order to solve the matrix Riccati equation, the most commonly used approach is that one which works via the matrix sign function and because of that provides an iterative method. The main purpose of the present paper is to show that the overdetermined system involved in this method can be replaced by a truncated system which is easier to solve. Numerical experiments shows that the computation is reduced by about \(26\%\).
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matrix-sign-function method
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algebraic Riccati equations
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numerical examples
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matrix Riccati equation
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iterative method
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overdetermined system
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0.8974221348762512
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0.8861880898475647
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0.8739781975746155
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0.8554063439369202
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