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

DOI10.1016/J.CAM.2018.02.004MaRDI QIDQ1743948zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cited in

(7)

• On the semigroup property for some structured iterations
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