Numerical solution of differential algebraic Riccati equations (Q919756)

The numerical solution of the matrix differential algebraic Riccati equation (DARE) arising from singular or descriptor control problems is studied. The solvability of such equations under different conditions is discussed. Numerical methods for the solution of the DAREs are applied to these equations after a transformation of the DARE to a form where for some cases singularities can be removed and the standard theory can be applied. The numerical solution of the DARE is approached by vectorizing the equation, leaving out extraneous variables, and then using a software package for systems of nonlinear DAEs. Two algorithms - one for the autonomous case (DAREC) solving the DAEs by LIMEX of \textit{P. Deuflhard}, \textit{E. Hairer} and \textit{J. Zugck} [Numer. Math. 51, 501-516 (1987; Zbl 0635.65083)] or DASSL of \textit{L. Petzold} [A differential algebraic system solver in IMACS, Trans. Sci. Comput. 1, 65-68 (1983)], and one for the time dependent case (DAREV) - are described. Some numerical examples with applications of these algorithms are given.