Theory and Numerical Solution of Differential and Algebraic Riccati Equations

Peter Benner ()
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Peter Benner: Max Planck Institute for Dynamics of Complex Technical Systems

Chapter Chapter 4 in Numerical Algebra, Matrix Theory, Differential-Algebraic Equations and Control Theory, 2015, pp 67-105 from Springer

Abstract: Abstract Since Kalman’s seminal work on linear-quadratic control and estimation problems in the early 1960s, Riccati equations have been playing a central role in many computational methods for solving problems in systems and control theory, like controller design, Kalman filtering, model reduction, and many more. We will review some basic theoretical facts as well as computational methods to solve them, with a special emphasis on the many contributions Volker Mehrmann had regarding these subjects.

Keywords: Invariant Subspace; Riccati Equation; Hamiltonian Matrix; Matrix Pencil; Defect Correction (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-15260-8_4

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DOI: 10.1007/978-3-319-15260-8_4

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