Lyapunov Type Algorithm for Coupled Riccati Equations in MCV Problem

摘要

In this study we propose a new proof for the convergence of the Lyapunov type algorithm. This may be guaranteed by the existence of a positive definite solution of a standard algebraic Riccati equation. Moreover, we will show that this algorithm is well defined and converges to a unique pair of stabilizing solutions of the coupled algebraic Riccati equations under-study.