A new method for computing the closed-loop eigenvalues of a discrete-time algebraic Riccati equation

Wen-Wei Lin*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

30 Scopus citations

Abstract

We present a fast method for computing the closed-loop eigenvalues of a discrete-time algebraic Riccati equation. The method is close to the symplectic method for finding all the eigenvalues of a Hamiltonian matrix and is based on a (Γ, Γ̃G)-orthogonal transformation, which preserves structure and has desirable numerical properties. The algorithm requires about one-fourth the number of floating-point operations and one-half the storage of the QZ algorithm.

Original languageEnglish
Pages (from-to)157-180
Number of pages24
JournalLinear Algebra and Its Applications
Volume96
Issue numberC
DOIs
StatePublished - 1 Jan 1987

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