ENGLISH

Multishift algorithm for numerical solution of algebraic Riccati equations

By Ammar , Benner , Mehrmann.

Book information

Year
1993
Language
english
Format
DJVU
Filesize
115 kB (117611 bytes)
Series
ETNA 1
Pages
16\16
Library
kolxoz
Time added
2009-07-20 03:45:11

Description

Abstract. We study an algorithm for the numerical solution of algebraic matrix Riccati equations that arise in linear optimal control problems. The algorithm can be considered to be a multishift technique, which uses only orthogonal symplectic similarity transformations to compute a Lagrangian invariant subspace of the associated Hamiltonian matrix. We describe the details of this method and compare it with other numerical methods for the solution of the algebraic Riccati equation.

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