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 -