A STRUCTURED DOUBLING ALGORITHM FOR DISCRETE-TIME ALGEBRAIC RICCATI EQUATIONS WITH SINGULAR CONTROL WEIGHTING MATRICES

被引：9

作者：

Chiang, Chun-Yueh ^{[1
]}

Fan, Hung-Yuan ^{[2
]}

Lin, Wen-Wei ^{[3
]}

机构：

[1] Natl Formosa Univ, Ctr Gen Educ, Huwei 632, Taiwan

[2] Natl Taiwan Normal Univ, Dept Math, Taipei 116, Taiwan

[3] Natl Chiao Tung Univ, Dept Appl Math, Hsinchu 300, Taiwan

来源：

TAIWANESE JOURNAL OF MATHEMATICS | 2010年 / 14卷 / 3A期

关键词：

Algebraic Riccati equation; Invariant subspace; Structured doubling algorithm; Singular; PENCILS;

D O I：

10.11650/twjm/1500405875

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

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.

引用

页码：933 / 954

页数：22

共 13 条

[11] On the numerical solution of large-scale sparse discrete-time Riccati equations
Benner, Peter
Fassbender, Heike
ADVANCES IN COMPUTATIONAL MATHEMATICS, 2011, 35 (2-4) : 119 - 147
[12] On the numerical solution of large-scale sparse discrete-time Riccati equations
Peter Benner
Heike Faßbender
Advances in Computational Mathematics, 2011, 35 : 119 - 147
[13] Solving the infinite-dimensional discrete-time algebraic Riccati equation using the extended symplectic pencil
Oostveen, J
Zwart, H
MATHEMATICS OF CONTROL SIGNALS AND SYSTEMS, 1996, 9 (03) : 242 - 265

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