A structured doubling algorithm for discrete-time algebraic riccati equations with singular control weighting matrices

Chun Yueh Chiang*, Hung Yuan Fan, Wen-Wei Lin

*Corresponding author for this work

研究成果: Article同行評審

7 引文 斯高帕斯(Scopus)

摘要

In this paper we propose a structured doubling algorithm for solving discrete-time algebraic Riccati equations without the invertibility of control weighting matrices. In addition, we prove that the convergence of the SDA algorithm is linear with ratio less than or equal 1/2 when all unimodular eigenvalues of the closed-loop matrix are semi-simple. Numerical examples are shown to illustrate the feasibility and efficiency of the proposed algorithm.

原文English
頁(從 - 到)933-954
頁數22
期刊Taiwanese Journal of Mathematics
14
發行號3 A
DOIs
出版狀態Published - 1 一月 2010

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