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
Solution of Large Scale Algebraic Matrix Riccati Equations by Use of Hierarchical Matrices
โ Scribed by L. Grasedyck; W. Hackbusch; B. N. Khoromskij
- Publisher
- Springer Vienna
- Year
- 2003
- Tongue
- English
- Weight
- 730 KB
- Volume
- 70
- Category
- Article
- ISSN
- 0010-485X
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๐ SIMILAR VOLUMES
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-
In this note, we present upper matrix bounds for the solution of the discrete algebraic Riccati equation (DARE). Using the matrix bound of Theorem 2.2, we then give several eigenvalue upper bounds for the solution of the DARE and make comparisons with existing results. The advantage of our results o