Download or read book Numerical Solution of Algebraic Riccati Equations written by Dario A. Bini and published by SIAM. This book was released on 2012-03-31 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: This treatment of the basic theory of algebraic Riccati equations describes the classical as well as the more advanced algorithms for their solution in a manner that is accessible to both practitioners and scholars. It is the first book in which nonsymmetric algebraic Riccati equations are treated in a clear and systematic way. Some proofs of theoretical results have been simplified and a unified notation has been adopted. Readers will find a unified discussion of doubling algorithms, which are effective in solving algebraic Riccati equations as well as a detailed description of all classical and advanced algorithms for solving algebraic Riccati equations and their MATLAB codes. This will help the reader gain an understanding of the computational issues and provide ready-to-use implementation of the different solution techniques.
Download or read book Numerical Solution of Algebraic Riccati Equations written by Dario A. Bini and published by SIAM. This book was released on 2011-01-01 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: This treatment of the basic theory of algebraic Riccati equations describes the classical as well as the more advanced algorithms for their solution in a manner that is accessible to both practitioners and scholars. It is the first book in which nonsymmetric algebraic Riccati equations are treated in a clear and systematic way. Some proofs of theoretical results have been simplified and a unified notation has been adopted. Readers will find a unified discussion of doubling algorithms, which are effective in solving algebraic Riccati equations as well as a detailed description of all classical and advanced algorithms for solving algebraic Riccati equations and their MATLAB codes. This will help the reader gain an understanding of the computational issues and provide ready-to-use implementation of the different solution techniques.
Download or read book Algebraic Riccati Equations written by Peter Lancaster and published by Clarendon Press. This book was released on 1995-09-07 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a careful treatment of the theory of algebraic Riccati equations. It consists of four parts: the first part is a comprehensive account of necessary background material in matrix theory including careful accounts of recent developments involving indefinite scalar products and rational matrix functions. The second and third parts form the core of the book and concern the solutions of algebraic Riccati equations arising from continuous and discrete systems. The geometric theory and iterative analysis are both developed in detail. The last part of the book is an exciting collection of eight problem areas in which algebraic Riccati equations play a crucial role. These applications range from introductions to the classical linear quadratic regulator problems and the discrete Kalman filter to modern developments in HD*W*w control and total least squares methods.
Download or read book The Riccati Equation written by Sergio Bittanti and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conceived by Count Jacopo Francesco Riccati more than a quarter of a millennium ago, the Riccati equation has been widely studied in the subsequent centuries. Since its introduction in control theory in the sixties, the matrix Riccati equation has known an impressive range of applications, such as optimal control, H? optimization and robust stabilization, stochastic realization, synthesis of linear passive networks, to name but a few. This book consists of 11 chapters surveying the main concepts and results related to the matrix Riccati equation, both in continuous and discrete time. Theory, applications and numerical algorithms are extensively presented in an expository way. As a foreword, the history and prehistory of the Riccati equation is concisely presented.
Download or read book On the Numerical Solution of Continuous Coupled Algebraic Riccati Equations written by Prasanthan Rajasingam and published by . This book was released on 2016 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation we first derive a new unified upper solution bound for the continuous coupled algebraic Riccati equation, which arises from the optimal control of a Markovian jump linear system. In particular, we address the issue of rank deficiency with the control matrices. In the case of rank deficiency the existing matrix upper bounds are inapplicable. Moreover, our new result is not restricted to rank deficiency cases only. It now contains the existing results as special cases. Next, an iterative refinement is presented to improve our new unified matrix upper solution bounds. In particular, this iterative refinement determines a monotonically decreasing sequence of upper bounds for the solution of the continuous coupled algebraic Riccati equation. We formulate a new iterative algorithm by modifying this iterative refinement. We also prove that this new algorithm generates a monotonically decreasing sequence of matrix upper solution bounds that converges to the maximal solution of the continuous coupled algebraic Riccati equation. Furthermore, we prove the convergence of an accelerated Riccati iteration which computes a positive semidefinite solution of the continuous coupled algebraic Riccati equation. In particular, we establish sufficient conditions for the convergence of this algorithm. We also prove that for particular initial values this algorithm determines a monotonically increasing sequence of positive semidefinite matrices that converge to the minimal solution of the continuous coupled algebraic Riccati equation. Additionally, we show that for specific initial values this algorithm generates a monotonically decreasing sequence that converges to the maximal solution of the continuous coupled algebraic Riccati equation. In addition, we prove that this accelerated Riccati iteration converges faster than the Riccati iteration. Finally, we formulate a weighted modified accelerated Riccati iteration which is a more generalized Riccati type iteration. All of the existing Riccati iterations are now the special cases of this algorithm. Furthermore, we establish sufficient conditions for the convergence of this algorithm and we prove the monotonic convergence of the sequence generated by this algorithm. We also discuss how the weight and other quantities affect the rate of convergence of this algorithm. Illustrative numerical examples are also presented.
Download or read book Contributions to the Numerical Solution of Algebraic Riccati Equations and Related Eigenvalue Problems written by Peter Benner and published by . This book was released on 1997 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical Solution of Initial value Problems in Differential algebraic Equations written by K. E. Brenan and published by SIAM. This book was released on 1996-01-01 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many physical problems are most naturally described by systems of differential and algebraic equations. This book describes some of the places where differential-algebraic equations (DAE's) occur. The basic mathematical theory for these equations is developed and numerical methods are presented and analyzed. Examples drawn from a variety of applications are used to motivate and illustrate the concepts and techniques. This classic edition, originally published in 1989, is the only general DAE book available. It not only develops guidelines for choosing different numerical methods, it is the first book to discuss DAE codes, including the popular DASSL code. An extensive discussion of backward differentiation formulas details why they have emerged as the most popular and best understood class of linear multistep methods for general DAE's. New to this edition is a chapter that brings the discussion of DAE software up to date. The objective of this monograph is to advance and consolidate the existing research results for the numerical solution of DAE's. The authors present results on the analysis of numerical methods, and also show how these results are relevant for the solution of problems from applications. They develop guidelines for problem formulation and effective use of the available mathematical software and provide extensive references for further study.
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.
Download or read book Three Numerical Methods for Solving Generalized Algebraic Riccati Equations written by Qingshan Qian and published by . This book was released on 1997 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical Solution of Algebraic Matrix Riccati Equations written by W. F Arnold (III.) and published by . This book was released on 1984 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical issues related to the computational solution of the algebraic matrix Riccati equation are studied. The approach uses the generalized eigenproblem formulation for the solution of general forms of applications. These general forms result from control and filtering problems for systems in generalized (or implicit or descriptor) state space form. A Newton-type iterative refinement procedure for the generalized Riccati solution is derived. The issue of numerical condition of the Riccati problem is addressed. Balancing to improve numerical condition is discussed. An overview of a software package coded in FORTRAN is given. Results of numerical experiments are reported.
Download or read book Numerical Solution of Differential Algebraic Riccati Equations written by P. Kunkel and published by . This book was released on 1989 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Numerical Solution of Differential and Algebraic Riccati Equations and Related Matters written by Luca Dieci and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Riccati Equations written by Aleksandr Ivanovič Egorov and published by Pensoft Publishers. This book was released on 2007 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents the necessary auxiliary facts from algebra, functional analysis and Lie group analysis. This book illustrates theory with solutions of numerous examples. It also presents the matrix Riccati equations. It deals with theoretical questions concerning matrix and operator equations based on various applied problems from mathematical physics.
Download or read book Numerical Solution of Modified Algebraic Riccati Equations and Overdetermined Sylvester Equations written by Phillip G. Pruett and published by . This book was released on 1994 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Numerical Solution of Algebraic Matrix Riccati Equations written by William Frederick Arnold and published by . This book was released on 1983 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Collection of Benchmark Examples for the Numerical Solution of Algebraic Riccati Equations II Discrete time Case written by Peter Benner and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Autonomous Linear Quadratic Control Problem written by Volker L. Mehrmann and published by Lecture Notes in Control and Information Sciences. This book was released on 1991 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: A survey is given on the state of the art in theory and numerical solution of general autonomous linear quadratic optimal control problems (continuous and discrete) with differential algebraic equation constraints. It incorporates the newest developments on differential algebraic equations, Riccati equations and invariant subspace problems. In particular, it gives a decision chart of numerical methods, that can be used to determine the right numerical method according to special properties of the problem. The book closes a gap between mathematical theory, numerical solution and engineering application. The mathematical tools are kept as basic as possible in order to address the different groups of readers, mathematicians and engineers.
