Improved Potter-Anderson-Moore algorithm for the differential Riccati equation

DOI10.1016/j.amc.2011.09.007zbMathNoneOpenAlexW2115986028WikidataQ115361606 ScholiaQ115361606MaRDI QIDQ427042

Verica Radisavljevic

Publication date: 13 June 2012

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.09.007

zbMATH Keywords

linear-quadratic optimal controlcomputational algorithmKalman filteringRiccati differential equationfinite-horizon optimal linear filtering

Mathematics Subject Classification ID

Numerical methods for initial value problems involving ordinary differential equations (65L05)

Related Items (3)

Time-energy suboptimal control of nonlinear input-affine systems ⋮ Order reduction of matrix exponentials by proper orthogonal decomposition ⋮ Galerkin trial spaces and Davison-Maki methods for the numerical solution of differential Riccati equations

Uses Software

• MATLAB expm

Cites Work

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• Solution of the matrix Riccati equation for the linear quadratic control problems
• Riccati differential equations
• Computational complexities and storage requirements of some Riccati equation solvers
• A canonical form and solution for the matrix Riccati differential equation
• A Riccati equation for block-diagonalization of ill-conditioned systems
• Control of Linear Time-Varying Systems Using Forward Riccati Equation
• Solving the Matrix Differential Riccati Equation: A Lyapunov Equation Approach
• The Scaling and Squaring Method for the Matrix Exponential Revisited
• Matrix Quadratic Solutions
• A simplified method for solving the matrix Riccati equation†

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