A revised Kleinman algorithm to solve algebraic Riccati equation of singularly perturbed systems (Q5960326)

The authors show that the Kleinman algorithm can be used well to solve the algebraic Riccati equation of singularly perturbed systems when the quadratic term of the Riccati equation may be indefinite. The quadratic convergence property of the Kleinman algorithm is proved by using the Newton-Kantorovich theorem when the initial condition is chosen appropriately. In addition, the numerical method to solve the generalized algebraic Lyapunov equation appearing in the Kleinman algorithm is given. The proposed numerical algorithm can be applied to a control law synthesis involving a solution of an algebraic Riccati equation such as the \(H_2\) and \(H_\infty\) control problem.