On the numerical solution of large-scale sparse discrete-time Riccati equations
Advances in Computational Mathematics
Balanced POD for linear PDE robust control computations
Computational Optimization and Applications
Journal of Computational and Applied Mathematics
On integral generalized policy iteration for continuous-time linear quadratic regulations
Automatica (Journal of IFAC)
Hi-index | 0.01 |
In this paper we consider the numerical solution of the algebraic Riccati equation using Newton's method. We propose an inexact variant which allows one control the number of the inner iterates used in an iterative solver for each Newton step. Conditions are given under which the monotonicity and global convergence result of Kleinman also hold for the inexact Newton iterates. Numerical results illustrate the efficiency of this method.