A structure-preserving doubling algorithm for continuous-time algebraic Riccati equations

E. K.W. Chu, H. Y. Fan, Wen-Wei Lin

研究成果: Article同行評審

67 引文 斯高帕斯(Scopus)

摘要

Continuous-time algebraic Riccati equations (CAREs) can be transformed, à la Cayley, to discrete-time algebraic Riccati equations (DAREs). The efficient structure-preserving doubling algorithm (SDA) for DAREs, from [E.K.-W. Chu, H.-Y. Fan, W.-W. Lin, A structure-preserving doubling algorithm for periodic discrete-time algebraic Riccati equations, preprint 2002-28, NCTS, National Tsing Hua University, Hsinchu 300, Taiwan, 2003; E.K.-W. Chu, H.-Y. Fan, W.-W. Lin, C.-S. Wang, A structure-preserving doubling algorithm for periodic discrete-time algebraic Riccati equations, preprint 2002-18, NCTS, National Tsing Hua University, Hsinchu 300, Taiwan, 2003], can then be applied. In this paper, 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, as well as practical issues involved in the application of the SDA to CAREs. A modified version of the SDA, developed for DAREs with a "doubly symmetric" structure, is also presented. Extensive numerical results show that our approach is efficient and competitive.

原文English
頁(從 - 到)55-80
頁數26
期刊Linear Algebra and Its Applications
396
發行號1-3
DOIs
出版狀態Published - 1 二月 2005

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