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

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Date

2008

Authors

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

Journal Title

Journal ISSN

Volume Title

Publisher

Institute of Electrical and Electronics Engineers (IEEE Inc)

Abstract

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.

Description

Keywords

Keywords: Algorithms; Differential equations; Game theory; Iterative methods; Numerical methods; Algebraic Riccati equation (ARE); Algebraic riccati equations; Global convergences; Indefinite quadratic term; Invariant subspaces; Iterative algorithms; Numerical exam Algebraic Riccati equation (ARE); H8 Riccati equations; Indefinite quadratic term; Iterative algorithms

Citation

URI

http://hdl.handle.net/1885/24351

Collections

ANU Research Publications

Source

IEEE Transactions on Automatic Control

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1109/TAC.2008.2006108

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