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A new iterative algorithm to solve periodic riccati differential equations with sign indefinite quadratic terms

Feng, Yangtao; Andras, Varga; Anderson, Brian; Lovera, Marco

Description

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 and the local quadratic rate of convergence are both established. A numerical example is given to illustrate our algorithm.

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
URI: http://hdl.handle.net/1885/68362
Source: IEEE Transactions on Automatic Control
DOI: 10.1109/TAC.2010.2101710

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