An algorithm using the HR process for solving the closed-loop eigenvalues of a discrete-time algebraic Riccati equation

摘要

Presents a numerical approach to the closed-loop spectrum of a discrete-time algebraic Riccati equation. The concerned symplectic pencil N-/spl lambda/L is proven to be equivalent to the pencil P-/spl lambda/Q, where P is skew-symmetric and Q is symmetric. Then the HR process, which can be viewed as a generalization of the QR method, is applied to compute the eigenvalue of P-/spl lambda/Q. Some numerical examples are included.