Authors:
Vasile Sima
1
and
Peter Benner
2
Affiliations:
1
Modelling, Simulation, Optimization Department, National Institute for Research & Development in Informatics, Bd. Mareşal Averescu, Nr. 8–10, Bucharest and Romania
;
2
Max Planck Institute for Dynamics of Complex Technical Systems, Sandtorstraße 1, Magdeburg and Germany
Keyword(s):
Algebraic Riccati Equation, Numerical Methods, Optimal Control, Optimal Estimation.
Related
Ontology
Subjects/Areas/Topics:
Industrial Engineering
;
Informatics in Control, Automation and Robotics
;
Intelligent Control Systems and Optimization
;
Optimization Algorithms
;
Performance Evaluation and Optimization
;
Robotics and Automation
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.