Abstract

The linear-qaudratic optimal control problem arises in the analysis and design of dynamic linear systems. The solution to this problems can be computed in the state space model by solving a quadratic matrix equation: the algebraic Riccati matrix equation. In this paper we present numerical algorithms for solving Riccati matrix equations by means of four of the most reliable numeric methods: Newton s method, the Schur method, the matrix sign function and the matrix disk function. The experimental results compare these methods both from the point of view of efficiency and accuracy.

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Published on 01/07/98
Accepted on 01/07/98
Submitted on 01/07/98

Volume 14, Issue 3, 1998
Licence: CC BY-NC-SA license

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