Eigenfactor solution of the matrix Riccati equation--A continuous square root algorithm

This paper introduces a new algorithm for solving the matrix Riccati equation. Differential equations for the eigenvalues and eigenvectors of the solution matrix are developed in which their derivatives are expressed in terms of the eigenvalues and eigenvectors themselves and not as functions of the...

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Bibliographic Details
Published in:IEEE transactions on automatic control 1985-10, Vol.30 (10), p.971-978
Main Authors: Oshman, Y., Bar-Itzhack, I.
Format: Article
Language:English
Subjects:
Aerospace engineering
Applied sciences
Closed-form solution
Computer science
control theory
systems
Control theory. Systems
Covariance matrix
Differential equations
Eigenvalues and eigenfunctions
Exact sciences and technology
Matrix decomposition
Optimal control
Riccati equations
Symmetric matrices
Testing
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Summary:This paper introduces a new algorithm for solving the matrix Riccati equation. Differential equations for the eigenvalues and eigenvectors of the solution matrix are developed in which their derivatives are expressed in terms of the eigenvalues and eigenvectors themselves and not as functions of the solution matrix. The solution of these equations yields, then, the time behavior of the eigenvalues and eigenvectors of the solution matrix. A reconstruction of the matrix itself at any desired time is immediately obtained through a trivial similarity transformation. This algorithm serves two purposes. First, being a square root solution, it entails all the advantages of square root algorithms such as nonnegative definiteness and accuracy. Secondly, it furnishes the eigenvalues and eigenvectors of the solution matrix continuously without resorting to the complicated route of solving the equation directly and then decomposing the solution matrix into its eigenvalues and eigenvectors. The algorithm which handles cases of distinct as well as multiple eigenvalues is tested on several examples. Through these examples it is seen that the algorithm is indeed more accurate than the ordinary one. Moreover, it is seen that the algorithm works in cases where the ordinary algorithm fails and even in cases where the closed-form solution cannot be computed as a result of numerical difficulties.
ISSN:0018-9286
1558-2523
DOI:10.1109/TAC.1985.1103823