An Improved Iterative Method for Solving the Discrete Algebraic Riccati Equation

Li Wang

Mathematical Problems in Engineering, 2020, vol. 2020, 1-6

Abstract:

The discrete algebraic Riccati equation has wide applications, especially in networked systems and optimal control systems. In this paper, according to the damped Newton method, two iterative algorithms with a stepsize parameter is proposed to solve the discrete algebraic Riccati equation, one of which is an extension of Algorithm (4.1) in Dai and Bai (2011). A numerical example demonstrates the convergence effect of the presented algorithm.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:3283157

DOI: 10.1155/2020/3283157

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