A schur method for solving algebraic Riccati equations
- 1 January 1978
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- Vol. 17, 60-65
- https://doi.org/10.1109/cdc.1978.267893
Abstract
In this paper a new algorithm for solving algebraic Riccati equations (both continuous-time and discrete-time versions) is presented. The method studied is a variant of the classical eigenvector approach and uses instead an appropriate set of Schur vectors thereby gaining substantial numerical advantages. Complete proofs of the Schur approach are given as well as considerable discussion of numerical issues. The method is apparently quite numerically stable and performs reliably on systems with dense matrices up to order 100 or so, storage being the main limiting factor. The description given below is a considerably abridged version of a complete report given in [0].Keywords
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