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An iterative algorithm for the solution of the discrete-time algebraic Riccati equation. (English) Zbl 0779.65038

An iterative algorithm for the solution of the discrete-time algebraic Riccati equation is proposed. This algorithm is based on the square root of a squared Hamiltonian matrix and is proved to be more effective than the QZ algorithm. A formal analysis for roundoff errors and some numerical examples are given.

MSC:

65K10 Numerical optimization and variational techniques
65F30 Other matrix algorithms (MSC2010)
93C55 Discrete-time control/observation systems
65F10 Iterative numerical methods for linear systems
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References:

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