Computing the positive stabilizing solution to algebraic Riccati equations with an indefinite quadratic term via a recursive method

Alexander Lanzon, Yantao Feng, Brian D O Anderson, Michael Rotkowitz

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    Abstract

    An iterative algorithm to solve Algebraic Riccati Equations with an indefinite quadratic term is proposed. The global convergence and local quadratic rate of convergence of the algorithm are guaranteed and a proof is given. Numerical examples are also provided to demonstrate the superior effectiveness of the proposed algorithm when compared with methods based on finding stable invariant subspaces of Hamiltonian matrices. A game theoretic interpretation of the algorithm is also provided. © 2008 IEEE.
    Original languageEnglish
    Pages (from-to)2280-2291
    Number of pages11
    JournalIEEE Transactions on Automatic Control
    Volume53
    Issue number10
    DOIs
    Publication statusPublished - 2008

    Keywords

    • Algebraic Riccati equation (ARE)
    • H∞ Riccati equations
    • Indefinite quadratic term
    • Iterative algorithms

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