A generalization of the matrix sign function solution for algebraic Riccati equations
- 1 December 1985
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- p. 1233-1235
- https://doi.org/10.1109/cdc.1985.268700
Abstract
This paper extends the use of the matrix sign function to the solution of generalized algebraic Riccati equations [4] for both continuous- and discrete-time systems. These problems involve Hamiltonian and symplectic pencils, respectively, rather than the standard Hamiltonian and symplectic matrices [4]. While ih is possible to convert a generalized eigenproblem or pencil N - 1L into a standard eigenproblem for L-1N if L is nonsingular, it may be numerically undesirable to do so. The approach outlined in this paper makes explicit computation of L-1N unnecessary and extends use of the matrix sign function to generalized eigenvalue problems.Keywords
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