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

研究成果: Article

70 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁(從 - 到)767-788
頁數22
期刊International Journal of Control
77
發行號8
DOIs
出版狀態Published - 20 五月 2004

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