NUMERICAL SOLUTION OF PROJECTED ALGEBRAIC RICCATI EQUATIONS

摘要

We cohsider the numerical solution of projected algebraic Riccati equations using Newton's method. Such equations arise, for instance, in model reduction of descriptor systems based on positive real and bounded real balanced truncation. We also discuss the computation of low-rank Cholesky factors of the solutions of projected Riccati equations. Numerical examples are.given that demonstrate the properties of the proposed algorithms.