An SDR Algorithm for the Solution of the Generalized Algebraic Riccati Equation

Wen-Wei Lin*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

This note gives an algorithm to solve certain classes of the algebraic Riccati equation by using the MDR transformation and extending the symplectic QR-like (or SR) method of Bunse-Gerstner and Mehrmann to the generalized eigenvalue problem. The Riccati equations arise from linear systems of the form Ex = Ax + Bu where E is nonsingular, but for numerical reasons, E 1A and E 1B cannot be computed reliably.

Original languageEnglish
Pages (from-to)875-879
Number of pages5
JournalIEEE Transactions on Automatic Control
Volume34
Issue number8
DOIs
StatePublished - 1 Jan 1989

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