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Accurate solutions ofM-matrix algebraic Riccati equations

โœ Scribed by Jungong Xue; Shufang Xu; Ren-Cang Li

Book ID
113021524
Publisher
Springer-Verlag
Year
2011
Tongue
English
Weight
530 KB
Volume
120
Category
Article
ISSN
0029-599X

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๐Ÿ“œ SIMILAR VOLUMES

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Numerical solutions of the algebraic matrix Riccati equation
โœ Hans M. Amman; Heinz Neudecker ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 349 KB

The linear-quadratic control model is one of the most widely used control models in both empirical and theoretical economic modeling. In order to obtain the equilibrium solution of this control model, the so-called algebraic matrix Riccati equation has to be solved. In this note we present a numeric

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Algebraic matrix Riccati equations are considered which arise in the optimal filtering as well as in control problems of continuous time-invariant systems. A necessary and sufficient condition is established for the existence of unique positivedefinite solutions and the asymptotically stable closed-