Analysis of an iteration method for the algebraic Riccati equation

Link:
Autor/in:
Erscheinungsjahr:
2016
Medientyp:
Text
Schlagworte:
  • Matrix equation
  • Matrix algebra
  • Coupled matrix
  • Matrix
  • Matrix Algebra
  • Matrix Equation
  • Matrix equation
  • Matrix algebra
  • Coupled matrix
  • Matrix
  • Matrix Algebra
  • Matrix Equation
Beschreibung:
  • We consider a recently published method for solving algebraic Riccati equations. We present a new perspective on this method in terms of the underlying linear-quadratic optimal control problem: we prove that the matrix obtained by this method expresses the optimal cost for a projected optimal control problem. The projection is determined by the so-called shift parameters of the method. Our representation in terms of the optimal control problem gives rise to a simple and very general convergence analysis.
Lizenz:
  • info:eu-repo/semantics/restrictedAccess
Quellsystem:
Forschungsinformationssystem der UHH

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oai:www.edit.fis.uni-hamburg.de:publications/e52c8276-5a1a-4e51-aab8-ad73abe7738f