A new iterative algorithm to solve periodic riccati differential equations with sign indefinite quadratic terms
Date
2011
Authors
Feng, Yangtao
Andras, Varga
Anderson, Brian
Lovera, Marco
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Institute of Electrical and Electronics Engineers (IEEE Inc)
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 and the local quadratic rate of convergence are both established. A numerical example is given to illustrate our algorithm.
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Keywords: Existing method; Global convergence; Indefinite quadratic term; Iterative algorithm; Negative semi-definite; Numerical example; Quadratic rates; Riccati differential equation; Algorithms; Approximation theory; Convergence of numerical methods; Riccati equ Periodic Riccati differential equations (PRDE)
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Source
IEEE Transactions on Automatic Control
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Journal article
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2037-12-31
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