A generalized structure-preserving doubling algorithm for generalized discrete-time algebraic Riccati equations

T. M. Hwang, E. K.W. Chu, W. W. Lin

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12 引文 斯高帕斯(Scopus)

摘要

In Chu et al. (2004), an efficient structure-preserving doubling algorithm (SDA) was proposed for the solution of discrete-time algebraic Riccati equations (DAREs). In this paper, we generalize the SDA to the G-SDA, for the generalized DARE: ETXE = ATXA - (ATXB + CTS)(R + BTXB)-1(BTXA + STC) + C TQC. Using Cayley transformation twice, we transform the generalized DARE to a DARE in a standard symplectic form without any explicit inversions of (possibly ill-conditioned) R and E. The SDA can then be applied. Selected numerical examples illustrate that the G-SDA is efficient, out-performing other algorithms.

原文英語
頁(從 - 到)1063-1075
頁數13
期刊International Journal of Control
78
發行號14
DOIs
出版狀態已發佈 - 2005 九月 20

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications

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