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Computing the Positive Stabilizing Solution to Algebraic Riccati Equations with an Indefinite Quadratic Term via a Recursive Method

Lanzon, Alexander; Feng, Yantao; Anderson, Brian; Rotkowitz, Michael


An iterative algorithm to solve Algebraic Riccati Equations with an indefinite quadratic term is proposed. The global convergence and local quadratic rate of convergence of the algorithm are guaranteed and a proof is given. Numerical examples are also provided to demonstrate the superior effectiveness of the proposed algorithm when compared with methods based on finding stable invariant subspaces of Hamiltonian matrices. A game theoretic interpretation of the algorithm is also provided.

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
Source: IEEE Transactions on Automatic Control
DOI: 10.1109/TAC.2008.2006108


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