Analysis of an iteration method for the algebraic Riccati equation

Arash Massoudi, Mark Opmeer, Timo Reis

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)
167 Downloads (Pure)

Abstract

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.
Original languageEnglish
Pages (from-to)624–648
Number of pages25
JournalSIAM Journal On Matrix Analysis and Applications (SIMAX)
Volume37
Issue number2
DOIs
Publication statusPublished - 17 May 2016

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