Abstract
We consider the numerical solution of large-scale algebraic Riccati equations with high-rank constant terms. The solutions are not numerically low-rank, so the previously successful methods based on low-rank representations are not directly applicable. We modify the doubling algorithm, making use of the low-rank in the input matrix B. We also solve the challenging problems in the estimation of residuals and relative errors, convergence control and the output of the modified algorithm. Illustrative numerical examples are presented.
Original language | English |
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Pages (from-to) | 130-143 |
Number of pages | 14 |
Journal | Journal of Computational and Applied Mathematics |
Volume | 361 |
DOIs | |
Publication status | Published - 1 Dec 2019 |
Keywords
- Algebraic Riccati equation
- Feedback gain
- High-rank constant term
- Large-scale problem
- LQR optimal control