Fast verified computation for solutions of continuous-time algebraic Riccati equations (Q495857)

The author presents a theory for computing an interval matrix which contains a solution of the continuous-time algebraic Riccati equation \(A^\ast X + XA -XBX + C = 0\), where \(A, B, C \in \mathbb{C}^{n \times n}\) are given matrices, \(B\) and \(C\) are Hermitian and \(A^\ast\) denotes the conjugate transpose of \(A\). Based on this theory a fast algorithm for enclosing solutions of such equations is developed. The algorithm makes use of numerical spectral decomposition of \((A - B {\tilde X})^\ast\), where \({\tilde X}\) is a numerically determined solution of the considered Riccati equation. This algorithm requires \({\mathcal O}(n^3)\) operations. Additionally, the uniqueness as well as the stabilizing and anti-stabilizing properties of the contained solution can be verified by the proposed algorithm. For illustrating the algorithm numerical examples are given.