Conditioning and error estimation in the numerical solution of matrix riccati equations

Authors:
P. Hr. Petkov;M. M. Konstantinov;N. D. Christov
Affiliations:
Technical University of Sofia, Sofia, Bulgaria;University of Architecture and Civil Engineering, Sofia, Bulgaria;Technical University of Sofia, Sofia, Bulgaria
Venue:
NAA'04 Proceedings of the Third international conference on Numerical Analysis and its Applications
Year:
2004

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Abstract

The paper deals with the condition number estimation and the computation of residual-based forward error estimates in the numerical solution of the matrix Riccati equations. Efficient, LAPACK-based condition and error estimators are proposed involving the solution of triangular Lyapunov equations along with one-norm computation.