|The Structure-preserving Doubling Numerical Algorithm of the Continuous Coupled Algebraic Riccati Equation
Juan Zhang* and Shifeng Li
International Journal of Control, Automation, and Systems, vol. 18, no. 7, pp.1641-1650, 2020
Abstract : In the paper, we apply a structure-preserving doubling algorithm to solve the continuous coupled algebraic Riccati equation (CCARE). Using the existence and uniqueness of the CCARE, we show that the iteration solution of the CCARE are positive semi-definite, symmetric, and unique. Further, we discuss the convergent analysis of the structure-preserving doubling algorithm. Moreover, we present two modified structure-preserving doubling algorithms. Finally, we offer corresponding numerical examples to illustrate the effectiveness of the derived numerical algorithms.
Continuous coupled algebraic Riccati equation, convergence analysis, doubling algorithm, the symmetric positive semi-definite solution