Numerical Investigation of Newton’s Method for Solving Discrete-time Algebraic Riccati Equations

Vasile Sima, Peter Benner

Abstract

A Newton-like algorithm and some line search strategies for solving discrete-time algebraic Riccati equations are discussed. Algorithmic and implementation details incorporated in the developed solver are described. Some numerical results of an extensive performance investigation on a large collection of examples are summarized. These results often show significantly improved accuracy, measured in terms of normalized and relative residuals, in comparison with the state-of-the-art MATLAB function. The new solver is strongly recommended for improving the solutions computed by other solvers.

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Paper Citation


in Harvard Style

Sima V. and Benner P. (2018). Numerical Investigation of Newton’s Method for Solving Discrete-time Algebraic Riccati Equations.In Proceedings of the 15th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO, ISBN 978-989-758-321-6, pages 66-75. DOI: 10.5220/0006860600660075


in Bibtex Style

@conference{icinco18,
author={Vasile Sima and Peter Benner},
title={Numerical Investigation of Newton’s Method for Solving Discrete-time Algebraic Riccati Equations},
booktitle={Proceedings of the 15th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,},
year={2018},
pages={66-75},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0006860600660075},
isbn={978-989-758-321-6},
}


in EndNote Style

TY - CONF

JO - Proceedings of the 15th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,
TI - Numerical Investigation of Newton’s Method for Solving Discrete-time Algebraic Riccati Equations
SN - 978-989-758-321-6
AU - Sima V.
AU - Benner P.
PY - 2018
SP - 66
EP - 75
DO - 10.5220/0006860600660075