Structure-preserving algorithms for periodic discrete-time algebraic Riccati equations

E. K.W. Chu, H. Y. Fan, Wen-Wei Lin*, C. S. Wang

*Corresponding author for this work

Research output: Contribution to journalArticle

68 Scopus citations

Abstract

In this paper we investigate structure-preserving algorithms for computing the symmetric positive semi-definite solutions to the periodic discrete-time algebraic Riccati equations (P-DAREs). Using a structure-preserving swap and collapse procedure, a single symplectic matrix pair in standard symplectic form is obtained. The P-DAREs can then be solved via a single DARE, using a structure-preserving doubling algorithm. We develop the structure-preserving doubling algorithm from a new point of view and show its quadratic convergence under assumptions which are weaker than stabilizability and detectability. With several numerical results, the algorithm is shown to be efficient, out-performing other algorithms on a large set of benchmark problems.

Original languageEnglish
Pages (from-to)767-788
Number of pages22
JournalInternational Journal of Control
Volume77
Issue number8
DOIs
StatePublished - 20 May 2004

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