A New Relaxative Algorithm for Coupled Riccati Matrix Equations

In this paper, an iterative algorithm for solving coupled algebraic Riccati equations is proposed that has the ad-vantage of fast convergence. Firstly, the importance and related theories of solving the Riccati equation in the control problem of Markovian jumping are introduced, and then mathematica...

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Vydané v:Chinese Control Conference s. 227 - 232
Hlavní autori: Du, Yi-Xiao, Wu, Yu-Yao, Wang, Ping, Sun, Hui-Jie, Liu, Wanquan
Médium: Konferenčný príspevok..
Jazyk:English
Vydavateľské údaje: Technical Committee on Control Theory, Chinese Association of Automation 24.07.2023
Predmet:
Convergence
iterative algorithm
Iterative algorithms
Iterative methods
Markovian jump
Mathematical models
Numerical simulation
Riccati equation
Riccati equations
ISSN:1934-1768
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Popis
Shrnutí:In this paper, an iterative algorithm for solving coupled algebraic Riccati equations is proposed that has the ad-vantage of fast convergence. Firstly, the importance and related theories of solving the Riccati equation in the control problem of Markovian jumping are introduced, and then mathematical induction is used to prove the mono-tonicity and bounded properties of iterative algorithms, and the method of obtaining the initial matrix of iterative algorithms is given. Also, numerical simulation verifies that the convergence speed of the algorithm is faster than some current algorithms.
ISSN:1934-1768
DOI:10.23919/CCC58697.2023.10241102