Large-scale discrete-time algebraic Riccati equations -- doubling algorithm and error analysis

DOI10.1016/j.cam.2014.09.005zbMath1302.65098OpenAlexW2052175114MaRDI QIDQ464645

Eric King-Wah Chu, Peter Chang-Yi Weng

Publication date: 28 October 2014

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

Full work available at URL: https://doi.org/10.1016/j.cam.2014.09.005

zbMATH Keywords

computational complexityerror analysisdiscrete-time algebraic Riccati equationlarge-scale problemnumerical resultdoubling algorithm

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Discrete-time control/observation systems (93C55) Matrix equations and identities (15A24) Complexity and performance of numerical algorithms (65Y20)

Related Items

Solving large-scale nonsymmetric algebraic Riccati equations from two-dimensional transport models by doubling, Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control, Krylov subspace methods for discrete-time algebraic Riccati equations, Large-scale algebraic Riccati equations with high-rank constant terms

Uses Software

• Matlab
• MESS

Cites Work

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