A structured doubling algorithm for discrete-time algebraic Riccati equations with singular control weighting matrices

DOI10.11650/twjm/1500405875zbMath1206.65169OpenAlexW1495487065MaRDI QIDQ987878

Chun-Yueh Chiang, Hung-Yuan Fan, Wen-Wei Lin

Publication date: 2 September 2010

Published in: Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11650/twjm/1500405875

zbMATH Keywords

Newton's method Stein equation linear quadratic control discrete algebraic Riccati equation control weighting matrix structured doubling algorithm

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Linear-quadratic optimal control problems (49N10)

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New upper and lower bounds, the iteration algorithm for the solution of the discrete algebraic Riccati equation ⋮ Verified computation for the Hermitian positive definite solution of the conjugate discrete-time algebraic Riccati equation ⋮ An accelerated technique for solving one type of discrete-time algebraic Riccati equations ⋮ Optimization of extrapolated Cayley transform with non-Hermitian positive definite matrix ⋮ The double deflating technique for irreducible singular M-matrix algebraic Riccati equations in the critical case ⋮ The convergence analysis of an accelerated iteration for solving algebraic Riccati equations ⋮ Homotopy for Rational Riccati Equations Arising in Stochastic Optimal Control

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