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Zbl 1162.65021
Ivanov, Ivan Ganchev
A method to solve the discrete-time coupled algebraic Riccati equations. (English)
[J] Appl. Math. Comput. 206, No. 1, 34-41 (2008). ISSN 0096-3003

The solution of a set of discrete-time coupled algebraic Riccati equations is considered. At first the system is transformed into another system of Riccati equations. Then, two iterative methods for computing a symmetric solution of this system are proposed. In each iteration step one has to solve a Stein equation. Convergence properties of the proposed algorithms are proved. Finally, some numerical examples are given.
[Michael Jung (Dresden)]

MSC 2000:: *65F30 Other matrix algorithms
15A24 Matrix equations
93C55 Discrete-time control systems
65K10 Optimization techniques (numerical methods)

Keywords: set of discrete-time Riccati equations; jump systems; Stein equation; iterative method; symmetric solution; convergence; algorithms; numerical examples

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Zentralblatt MATH Berlin [Germany]