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Type: Artigo de periódico
Title: An algorithm for solving a perturbed algebraic Riccati equation
Author: Costa, EF
do Val, JBR
Abstract: The paper presents an algorithm for solving a perturbed algebraic Riccati equation, which involves a monotone operator and comprises the usual Riccati equation and coupled algebraic Riccati equations as particular cases. The method relies on iterations of Riccati equations for which solutions are ensured to exist and to be unique, via the adequate choice of certain parameters. We show that the method generates a monotonically increasing sequence that converges to the minimal solution of the original equation whenever it exists. In this case, the convergence is unconditionally ensured; no stability or any other condition is taken into account. Illustrative numerical examples are included.
Subject: detectability
Markov jump linear systems
quadratic control problem
Country: França
Editor: Lavoisier
Rights: fechado
Identifier DOI: 10.3166/ejc.10.576-580
Date Issue: 2004
Appears in Collections:Artigos e Materiais de Revistas Científicas - Unicamp

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