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

Vasile Sima, Peter Benner

2018

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.

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