On Computing High Accuracy Solutions of a Class of Riccati Equations
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چکیده
The paper concerns with the computation with high accuracy of the non-negative deenite stabilizing solution of the matrix Riccati equation A T X + XA + XQX + R = 0, where A is stable, Q = Q T 0 and R = R T 0. The limiting accuracy solution can be computed by using an iterative reenement technique based on the Newton's method. A proof of global convergence of the iterative process, with nal quadratic rate, is given. Several ways to compute with high accuracy the Cholesky factor of the solution are also discussed.
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تاریخ انتشار 1995