A Numerical Algorithm for Finding Solution of Cross-Coupled Algebraic Riccati Equations

Authors:
Hiroaki Mukaidani;Seiji Yamamoto;Toru Yamamoto
Affiliations:
-;-;-
Venue:
IEICE Transactions on Fundamentals of Electronics, Communications and Computer Sciences
Year:
2008

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Abstract

In this letter, a computational approach for solving cross-coupled algebraic Riccati equations (CAREs) is investigated. The main purpose of this letter is to propose a new algorithm that combines Newton's method with a gradient-based iterative (GI) algorithm for solving CAREs. In particular, it is noteworthy that both a quadratic convergence under an appropriate initial condition and reduction in dimensions for matrix computation are both achieved. A numerical example is provided to demonstrate the efficiency of this proposed algorithm.