TY - JOUR
T1 - Large-scale discrete-time algebraic Riccati equations - doubling algorithm and error analysis
AU - Chu, King-Wah Eric
AU - Weng, Peter Chang-Yi
PY - 2015
Y1 - 2015
N2 - We consider the numerical solution of large-scale discrete-time algebraic Riccati equations. The doubling algorithm is adapted, with the iterates for A not computed explicitly but recursively. The resulting algorithm is efficient, with computational complexity and memory requirement proportional to the size of the problem, and essentially converges quadratically. An error analysis, on the truncation of iterates, and some numerical results are presented.
AB - We consider the numerical solution of large-scale discrete-time algebraic Riccati equations. The doubling algorithm is adapted, with the iterates for A not computed explicitly but recursively. The resulting algorithm is efficient, with computational complexity and memory requirement proportional to the size of the problem, and essentially converges quadratically. An error analysis, on the truncation of iterates, and some numerical results are presented.
UR - http://www.sciencedirect.com/science/article/pii/S0377042714004014/pdfft?md5=8dc2a176d821d43e333f0b30771978d1&pid=1-s2.0-S0377042714004014-main.pdf
UR - https://www.scopus.com/pages/publications/84907833940
U2 - 10.1016/j.cam.2014.09.005
DO - 10.1016/j.cam.2014.09.005
M3 - Article
SN - 0377-0427
VL - 277
SP - 115
EP - 126
JO - Journal of Computational and Applied Mathematics
JF - Journal of Computational and Applied Mathematics
ER -