Solving discrete algebraic Riccati equations: A new recursive method

Yantao Feng; Brian D.O. Anderson; Weitian Chen

doi:10.1109/CDC.2009.5400097

Solving discrete algebraic Riccati equations: A new recursive method

Yantao Feng^*, Brian D.O. Anderson, Weitian Chen

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

2 Citations (Scopus)

Abstract

In this paper, an iterative algorithm is proposed to solve discrete time algebraic Riccati equations (DARE) with a sign indefinite quadratic term, which arise from linear discrete time H∞ control. By constructing two positive semidefinite matrix sequences, we obtain the stabilizing solution of the given DARE. The algorithm has a global convergence property.

Original language	English
Title of host publication	Proceedings of the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	1720-1724
ISBN (Electronic)	978-1-4244-3872-3
ISBN (Print)	978-1-4244-3871-6
DOIs	https://doi.org/10.1109/CDC.2009.5400097
Publication status	Published - 2009
Event	48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009 - Shanghai, China Duration: 15 Dec 2009 → 18 Dec 2009

Publication series

Name
ISSN (Print)	0191-2216

Conference

Conference	48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
Country/Territory	China
City	Shanghai
Period	15/12/09 → 18/12/09

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10.1109/CDC.2009.5400097

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title = "Solving discrete algebraic Riccati equations: A new recursive method",

abstract = "In this paper, an iterative algorithm is proposed to solve discrete time algebraic Riccati equations (DARE) with a sign indefinite quadratic term, which arise from linear discrete time H∞ control. By constructing two positive semidefinite matrix sequences, we obtain the stabilizing solution of the given DARE. The algorithm has a global convergence property.",

author = "Yantao Feng and Anderson, {Brian D.O.} and Weitian Chen",

year = "2009",

doi = "10.1109/CDC.2009.5400097",

language = "English",

isbn = "978-1-4244-3871-6",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "1720--1724",

booktitle = "Proceedings of the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference",

address = "United States",

note = "48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009 ; Conference date: 15-12-2009 Through 18-12-2009",

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Feng, Y, Anderson, BDO & Chen, W 2009, Solving discrete algebraic Riccati equations: A new recursive method. in Proceedings of the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference. Institute of Electrical and Electronics Engineers Inc., pp. 1720-1724, 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009, Shanghai, China, 15/12/09. https://doi.org/10.1109/CDC.2009.5400097

Solving discrete algebraic Riccati equations: A new recursive method. / Feng, Yantao; Anderson, Brian D.O.; Chen, Weitian.
Proceedings of the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference. Institute of Electrical and Electronics Engineers Inc., 2009. p. 1720-1724.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Feng, Yantao

AU - Anderson, Brian D.O.

AU - Chen, Weitian

PY - 2009

Y1 - 2009

N2 - In this paper, an iterative algorithm is proposed to solve discrete time algebraic Riccati equations (DARE) with a sign indefinite quadratic term, which arise from linear discrete time H∞ control. By constructing two positive semidefinite matrix sequences, we obtain the stabilizing solution of the given DARE. The algorithm has a global convergence property.

AB - In this paper, an iterative algorithm is proposed to solve discrete time algebraic Riccati equations (DARE) with a sign indefinite quadratic term, which arise from linear discrete time H∞ control. By constructing two positive semidefinite matrix sequences, we obtain the stabilizing solution of the given DARE. The algorithm has a global convergence property.

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U2 - 10.1109/CDC.2009.5400097

DO - 10.1109/CDC.2009.5400097

M3 - Conference contribution

SN - 978-1-4244-3871-6

SP - 1720

EP - 1724

BT - Proceedings of the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009

Y2 - 15 December 2009 through 18 December 2009

ER -

Solving discrete algebraic Riccati equations: A new recursive method

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