Residual bounds of approximate solutions of the discrete-time algebraic Riccati equation
Perturbation theory is investigated for the discrete-time algebraic Riccati equation which arises in the solution of quadratic optimization and estimation problems in linear control theory. The main contribution of the paper is to derive residual bounds for the approximate solution. Firstly one studies stable matrices. Then one derives a perturbation equation which contains the residual of the Riccati equation w.r.t. the approximate Hermitian solution. Bounds for the approximate solution are obtained. A numerical example is displayed.
discrete-time algebraic Riccati equation
scientific article; zbMATH DE number 1111585