An iterative algorithm to solve periodic Riccati differential equations with an indefinite quadratic term
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Feng, Yantao
Anderson, Brian D.O.
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Institute of Electrical and Electronics Engineers Inc.
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Abstract
An iterative algorithm to solve periodic Riccati differential equations (PRDE) with an indefinite quadratic term is proposed. In our algorithm, we replace the problem of solving a PRDE with an indefinite quadratic term by the problem of solving a sequence of PRDEs with a negative semidefinite quadratic term which can be solved by existing methods. The global convergence is guaranteed and a proof is given.
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Book Title
Proceedings of the 47th IEEE Conference on Decision and Control, CDC 2008
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