A class of Hamiltonian-symplectic methods for solving the algebraic Riccati equation (Q1329957)
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English | A class of Hamiltonian-symplectic methods for solving the algebraic Riccati equation |
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A class of Hamiltonian-symplectic methods for solving the algebraic Riccati equation (English)
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15 August 1994
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The paper presents a method for solving the algebraic Riccati equation exploiting the eigenstructure of the associated Hamiltonian matrix by means of symplectic transformations. Unlike a previous approach due to \textit{G. Ammar} and \textit{V. Mehrmann} [Linear Algebra Appl. 149, 55-72 (1991; Zbl 0724.65042)] confined to unitary symplectic matrices, the authors consider the whole class of symplectic transformations and devise a general algorithm for finding the invariant subspace of a Hamiltonian matrix corresponding to its left-half-plane eigenvalues. Consequently this new framework is able to incorporate the method of Ammar and Mehrmann as a particular case. The numerical properties are analyzed for the enlarged class of transformations.
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algebraic Riccati equation
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Hamiltonian matrix
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symplectic transformations
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invariant subspace
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eigenvalues
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