Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
Volume 277, Issue -, Pages 115-126Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.cam.2014.09.005
Keywords
Discrete-time algebraic Riccati equation; Doubling algorithm; Large-scale problem
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Funding
- Monash Graduate and International Postgraduate Research Scholarships
- Monash Postgraduate Publication Award
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We consider the numerical solution of large-scale discrete-time algebraic Riccati equations. The doubling algorithm is adapted, with the iterates for A not computed explicitly but recursively. The resulting algorithm is efficient, with computational complexity and memory requirement proportional to the size of the problem, and essentially converges quadratically. An error analysis, on the truncation of iterates, and some numerical results are presented. (C) 2014 Elsevier B.V. All rights reserved.
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