A method to solve the discrete-time coupled algebraic Riccati equations

摘要

We consider a set of discrete-time coupled algebraic Riccati equations that arise in quadratic optimal control. Two iterations for computing a symmetric solution of this system are investigated. New iterations are based on the properties of a Stein equation. It is necessary to solve a Stein equation at each step of proposed algorithms. We adapt the conditions for convergence several previous iterations presented in the literature for solving rational Riccati equations arising in stochastic control. (c) 2008 Elsevier Inc. All rights reserved.