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2014 The Extended Hamiltonian Algorithm for the Solution of the Algebraic Riccati Equation
Zhikun Luo, Huafei Sun, Xiaomin Duan
J. Appl. Math. 2014: 1-8 (2014). DOI: 10.1155/2014/693659

Abstract

We use a second-order learning algorithm for numerically solving a class of the algebraic Riccati equations. Specifically, the extended Hamiltonian algorithm based on manifold of positive definite symmetric matrices is provided. Furthermore, this algorithm is compared with the Euclidean gradient algorithm, the Riemannian gradient algorithm, and the new subspace iteration method. Simulation examples show that the convergence speed of the extended Hamiltonian algorithm is the fastest one among these algorithms.

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Zhikun Luo. Huafei Sun. Xiaomin Duan. "The Extended Hamiltonian Algorithm for the Solution of the Algebraic Riccati Equation." J. Appl. Math. 2014 1 - 8, 2014. https://doi.org/10.1155/2014/693659

Information

Published: 2014
First available in Project Euclid: 2 March 2015

zbMATH: 07131793
MathSciNet: MR3214514
Digital Object Identifier: 10.1155/2014/693659

Rights: Copyright © 2014 Hindawi

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