An iterative algorithm for the solution of the discrete-time algebraic Riccati equation
An iterative algorithm for the solution of the discrete-time algebraic Riccati equation is proposed. This algorithm is based on the square root of a squared Hamiltonian matrix and is proved to be more effective than the QZ algorithm. A formal analysis for roundoff errors and some numerical examples are given.
discrete-time algebraic Riccati equation
scientific article; zbMATH DE number 398929
scientific article