Affiliation:
1. School of Mathematics and Computational Science, Hunan University of Science and Technology , Hunan 411201, P. R. China
Abstract
Abstract
In this paper, by the transformation form of the discrete algebraic Riccati equation (DARE), we propose a new inverse-free iterative algorithm to obtain the positive definite solution of the DARE. Furthermore, the monotone convergence is proved and convergence rate analysis is presented for the derived algorithm. Compared with some existing algorithms, numerical examples demonstrate the feasibility and effectiveness of our algorithm.
Funder
National Natural Science Foundation for Youths of China
Youth Project of Hunan Provincial Education Department of China
National Natural Science Foundation of China
Publisher
Oxford University Press (OUP)
Subject
Applied Mathematics,Control and Optimization,Control and Systems Engineering