An accelerated technique for solving one type of discrete-time algebraic Riccati equations

DOI10.1016/J.CAM.2018.02.004zbMATH Open1390.39071arXiv1706.02478OpenAlexW2963268606MaRDI QIDQ1743948FDOQ1743948

Authors: Matthew M. Lin, Chun-Yueh Chiang 

Publication date: 16 April 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Abstract: Algebraic Riccati equations are encountered in many applications of control and engineering problems, e.g., LQG problems and $H^{i}nfty$ control theory. In this work, we study the properties of one type of discrete-time algebraic Riccati equations. Our contribution is twofold. First, we present sufficient conditions for the existence of a unique positive definite solution. Second, we propose an accelerated algorithm to obtain the positive definite solution with the rate of convergence of any desired order. Numerical experiments strongly support that our approach performs extremely well even in the almost critical case. As a byproduct, we provide show that this method is capable of computing the unique negative definite solution, once it exists.

Full work available at URL: https://arxiv.org/abs/1706.02478

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zbMATH Keywords

algebraic Riccati equationspositive definite solutionsemigroup propertydoubling algorithm\(r\)-superlinear with order \(r\)Sherman Morrison Woodbury formula

Mathematics Subject Classification ID

Variational and other types of inclusions (47J22) Matrix equations and identities (15A24) Iteration theory, iterative and composite equations (39B12) Numerical computation of solutions to single equations (65H05) Matrix and operator functional equations (39B42)

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Cited In (7)

• On the convergence of the accelerated Riccati iteration method
• On the maximal solution of the conjugate discrete-time algebraic Riccati equation
• The convergence analysis of an accelerated iteration for solving algebraic Riccati equations
• On the semigroup property for some structured iterations
• Four extremal solutions of discrete-time algebraic Riccati equations: existence theorems and computation
• Inheritance properties of the conjugate discrete-time algebraic Riccati equation
• Verified computation for the Hermitian positive definite solution of the conjugate discrete-time algebraic Riccati equation

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