Numerical Solution of the Coupled Algebraic Riccati Equations

Download or read book Numerical Solution of the Coupled Algebraic Riccati Equations written by Prasanthan Rajasingam and published by . This book was released on 2013 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we develop new and improved results in the numerical solution of the coupled algebraic Riccati equations. First we provide improved matrix upper bounds on the positive semidefinite solution of the unified coupled algebraic Riccati equations. Our approach is largely inspired by recent results established by Liu and Zhang. Our main results tighten the estimates of the relevant dominant eigenvalues. Also by relaxing the key restriction our upper bound applies to a larger number of situations. We also present an iterative algorithm to refine the new upper bounds and the lower bounds and numerically compute the solutions of the unified coupled algebraic Riccati equations. This construction follows the approach of Gao, Xue and Sun but we use different bounds. This leads to different analysis on convergence. Besides, we provide new matrix upper bounds for the positive semidefinite solution of the continuous coupled algebraic Riccati equations. By using an alternative primary assumption we present a new upper bound. We follow the idea of Davies, Shi and Wiltshire for the non-coupled equation and extend their results to the coupled case. We also present an iterative algorithm to improve our upper bounds. Finally we improve the classical Newton's method by the line search technique to compute the solutions of the continuous coupled algebraic Riccati equations. The Newton's method for couple Riccati equations is attributed to Salama and Gourishanar, but we construct the algorithm in a different way using the Frechet derivative and we include line search too. Our algorithm leads to a faster convergence compared with the classical scheme. Numerical evidence is also provided to illustrate the performance of our algorithm.