We consider a recently published method for solving algebraic Riccati equations. We present a new perspective on this method in terms of the underlying linear-quadratic optimal control problem: we prove that the matrix obtained by this method expresses the optimal cost for a projected optimal control problem. The projection is determined by the so-called “shift parameters” of the method. Our representation in terms of the optimal control problem gives rise to a simple and very general convergence analysis.
|Number of pages||25|
|Journal||SIAM Journal On Matrix Analysis and Applications (SIMAX)|
|Publication status||Published - 17 May 2016|
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- Department of Mathematical Sciences - Senior Lecturer
- EPSRC Centre for Doctoral Training in Statistical Applied Mathematics (SAMBa)
Person: Research & Teaching