화학공학소재연구정보센터
IEEE Transactions on Automatic Control, Vol.44, No.6, 1216-1220, 1999
An efficient algorithm for the discrete-time algebraic Riccati equation
In this paper the authors develop a new algorithm to solve the standard discrete-time algebraic Riccati equation by using a skew-Hamiltonian transformation and the square-root method. The algorithm is structure-preserving and efficient because the Hamiltonian structure is fully exploited and only orthogonal transformations are used. The efficiency and stability of the algorithm are analyzed. Numerical examples are included.