Krylov subspace methods for discrete-time algebraic Riccati equations

Liping Zhang, Hung Yuan Fan, Eric King Wah Chu

研究成果: 雜誌貢獻文章

摘要

We apply the Krylov subspace methods to large-scale discrete-time algebraic Riccati equations. The solvability of the projected algebraic Riccati equation is not assumed but is shown to be inherited from the original equation. Solvability in terms of stabilizability, detectability, stability radius of the associated Hamiltonian matrix and perturbation theory are considered. We pay particular attention to the stabilizing and the positive semi-definite properties of approximate solutions. Illustrative numerical examples are presented.

原文英語
頁(從 - 到)499-510
頁數12
期刊Applied Numerical Mathematics
152
DOIs
出版狀態已發佈 - 2020 六月

ASJC Scopus subject areas

  • Numerical Analysis
  • Computational Mathematics
  • Applied Mathematics

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