A MODIFIED NEWTON METHOD FOR THE MATRIX RICCATI EQUATION

Authors
STOREY C
Citation
C. Storey, A MODIFIED NEWTON METHOD FOR THE MATRIX RICCATI EQUATION, Hungarian journal of industrial chemistry, 25(4), 1997, pp. 305-308
Citations number
9
Journal title
Hungarian journal of industrial chemistry → ACNP
ISSN journal
01330276
Volume
25
Issue
4
Year of publication
1997
Pages
305 - 308
Database
ISI
SICI code
0133-0276(1997)25:4<305:AMNMFT>2.0.ZU;2-6
Abstract
The Matrix Riccati equation has an important role in optimal filtering , optimal control theory and other areas of engineering and mathematic s. In this paper the linear (Sylvester and Liapunov) matrix equations, which result when Newton's method is applied to the matrix Riccati eq uation, are solved using an infinite series method. Preliminary numeri cal results are presented.