TY - JOUR

T1 - ITERATIVE METHOD OF COMPUTING THE LIMITING SOLUTION OF THE MATRIX RICCATI DIFFERENTIAL EQUATION.

AU - Hitz, K. L.

AU - Anderson, B. D.O.

PY - 1972

Y1 - 1972

N2 - An iterative algorithm for computing the limiting, or steady-state, solution of the matrix Riccati differential equation associated with quadratic minimization problems in linear systems is described. It is shown that the positive-definite solution of the algebraic equation PF plus F prime P - PGR** minus **1G prime P plus S equals O, provided that it exists and is unique, can be obtained as the limiting solution of a quadratic matrix different equation that converges from any nonnegative definite initial condition. The algorithm is simple, and, at least for moderate dimensions of the solution matrix, competitive in computatonal effort with other current techniques for obtaining the limiting solution of the Riccati equation.

AB - An iterative algorithm for computing the limiting, or steady-state, solution of the matrix Riccati differential equation associated with quadratic minimization problems in linear systems is described. It is shown that the positive-definite solution of the algebraic equation PF plus F prime P - PGR** minus **1G prime P plus S equals O, provided that it exists and is unique, can be obtained as the limiting solution of a quadratic matrix different equation that converges from any nonnegative definite initial condition. The algorithm is simple, and, at least for moderate dimensions of the solution matrix, competitive in computatonal effort with other current techniques for obtaining the limiting solution of the Riccati equation.

UR - http://www.scopus.com/inward/record.url?scp=0015396933&partnerID=8YFLogxK

U2 - 10.1049/piee.1972.0276

DO - 10.1049/piee.1972.0276

M3 - Article

AN - SCOPUS:0015396933

SN - 0020-3270

VL - 119

SP - 1402

EP - 1406

JO - Proceedings of the Institution of Electrical Engineers

JF - Proceedings of the Institution of Electrical Engineers

IS - 9

ER -