Large-scale discrete-time algebraic Riccati equations— Doubling algorithm and error analysis

• Eric King-wah Chu ^[1] ; Peter Chang-Yi Weng ^[2]
  1. [1] Monash University

     Monash University

     Australia

     
  2. [2] Academia Sinica

     Academia Sinica

     Taiwán

     
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 277, Nº 1 (15 March 2015), 2015, págs. 115-126
• Idioma: inglés
• DOI: 10.1016/j.cam.2014.09.005
• Texto completo no disponible (Saber más ...)
• Resumen

  • Weconsider the numerical solution of large-scale discrete-time algebraic Riccati equations.

    The doubling algorithm is adapted, with the iterates for A not computed explicitly but recursively.

    The resulting algorithm is efficient, with computational complexity and memory requirement proportional to the size of the problem, and essentially converges quadratically.

    An error analysis, on the truncation of iterates, and some numerical results are presented.