Numerical Solvers to the Stabilizing Solution of Perturbed Algebraic Riccati Equations in LQ Zero-Sum Games

摘要

This paper addresses the problem of solving a generalized algebraic Riccati equation with an indefinite sign of its quadratic term. We extend the approach introduced by Lanzon, Feng, Anderson and Rotkowitz (2008) for solving similar Riccati equations. We numerically investigate two types of iterative methods for computing the stabilizing solution. The first type of iterative methods constructs two matrix sequences, where the sum of them converges to the stabilizing solution. The second type of methods defines one matrix sequence which converges to the stabilizing solution. Computer realizations of the presented methods are numerically tested and compared on the test of family examples. Based on the experiments some conclusions are derived.