A Computational Algorithm for Solving a System of Coupled Algebraic Matrix Riccati Equations

DOI10.1109/T-C.1974.223788MaRDI QIDQ4053036zbMATH OpenOpenAlexFDO

Authors A. I. A. Salama, V.-G. Gourishankar

Publication date 1974

Published in IEEE Transactions on Computers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/t-c.1974.223788

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Controllability (93B05) Numerical methods for ordinary differential equations (65L99)

Cited in

(7)

• An iterative algorithm for coupled Riccati equations in continuous-time Markovian jump linear systems
• An iterative computational scheme for solving the coupled Hamilton-Jacobi-Isaacs equations in nonzero-sum differential games of affine nonlinear systems
• \(H_\infty\)-control for Markovian jumping linear systems with parametric uncertainty
• Monotonicity of algebraic Lyapunov iterations for optimal control of jump parameter linear systems
• The matrix sign function and computations in systems
• Parallel computation of the solutions of coupled algebraic Lyapunov equations
• A novel iterative algorithm for solving coupled Riccati equations

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