Abstract
In this paper we propose a structured doubling algorithm for solving discrete-time algebraic Riccati equations without the invertibility of control weighting matrices. In addition, we prove that the convergence of the SDA algorithm is linear with ratio less than or equal $\frac{1}{2}$ when all unimodular eigenvalues of the closed-loop matrix are semi-simple. Numerical examples are shown to illustrate the feasibility and efficiency of the proposed algorithm.
Citation
Chun-Yueh Chiang. Hung-Yuan Fan. Wen-Wei Lin. "STRUCTURED DOUBLING ALGORITHM FOR DISCRETE-TIME ALGEBRAIC RICCATI EQUATIONS WITH SINGULAR CONTROL WEIGHTING MATRICES." Taiwanese J. Math. 14 (3A) 933 - 954, 2010. https://doi.org/10.11650/twjm/1500405875
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