Analysis of an Iteration Method for the Algebraic Riccati Equation
نویسندگان
چکیده
منابع مشابه
Analysis of an Iteration Method for the Algebraic Riccati Equation
We consider a recently published method for solving algebraic Riccati equations. We present a new perspective on this method in terms of the underlying linear-quadratic optimal control problem: we prove that the matrix obtained by this method expresses the optimal cost for a projected optimal control problem. The projection is determined by the so-called shift parameters of the method. Our repr...
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ژورنال
عنوان ژورنال: SIAM Journal on Matrix Analysis and Applications
سال: 2016
ISSN: 0895-4798,1095-7162
DOI: 10.1137/140985792