Approximate solutions with a priori error bounds for continuous coefficient matrix Riccati equations

Authors:
S. Blanes;L. Jódar;E. Ponsoda
Affiliations:
Departament de Matemàtiques, Universitat Jaume I 12.071 Castellón, Spain;Departamento de Matemática Aplicada Universidad Politécnica de Valencia P.O. Box 22.012 Valencia, Spain;Departamento de Matemática Aplicada Universidad Politécnica de Valencia P.O. Box 22.012 Valencia, Spain
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
2000

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Abstract

In this paper, the exact solution of the nonsymmetric matrix Riccati equation with continuous coefficients is approximated using Fer's approximations of the associated underlying linear system. Given an admissible error @e 0, the order n of Fer's truncation is determined so that in the previously guaranteed existence interval, the error of the approximated solution is less than @e. Some qualitative properties of the Fer's approximations are given and illustrative examples are included.