Numerical Investigation of Newton’s Method for Solving Continuous-time Algebraic Riccati Equations

Vasile Sima; Peter Benner

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Paper

Numerical Investigation of Newton’s Method for Solving Continuous-time Algebraic Riccati Equations

Topics: Engineering Applications; Optimization Algorithms

In Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO, 404-409, 2014 , Vienna, Austria

Authors: Vasile Sima ¹ and Peter Benner ²

Affiliations: ¹ National Institute for Research & Development in Informatics, Romania ; ² Max Planck Institute for Dynamics of Complex Technical Systems, Germany

Keyword(s): Algebraic Riccati Equation, Numerical Methods, Optimal Control, Optimal Estimation.

Related Ontology Subjects/Areas/Topics: Engineering Applications ; Informatics in Control, Automation and Robotics ; Intelligent Control Systems and Optimization ; Optimization Algorithms ; Robotics and Automation ; Signal Processing, Sensors, Systems Modeling and Control

Abstract: Refined algorithms for solving continuous-time algebraic Riccati equations using Newton’s method with or without line search are discussed. Their main properties are briefly presented. Algorithmic details incorporated in the developed solver are described. The results of an extensive performance investigation on a large collection of examples are summarized. Several numerical difficulties and observed unexpected behavior are reported. These algorithms are strongly recommended for improving the solutions computed by other solvers.

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Paper citation in several formats:

Sima, V. and Benner, P. (2014). Numerical Investigation of Newton’s Method for Solving Continuous-time Algebraic Riccati Equations. In Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO; ISBN 978-989-758-039-0; ISSN 2184-2809, SciTePress, pages 404-409. DOI: 10.5220/0005117004040409

@conference{icinco14,
author={Vasile Sima. and Peter Benner.},
title={Numerical Investigation of Newton’s Method for Solving Continuous-time Algebraic Riccati Equations},
booktitle={Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO},
year={2014},
pages={404-409},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005117004040409},
isbn={978-989-758-039-0},
issn={2184-2809},
}

TY - CONF

JO - Proceedings of the 11th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO
TI - Numerical Investigation of Newton’s Method for Solving Continuous-time Algebraic Riccati Equations
SN - 978-989-758-039-0
IS - 2184-2809
AU - Sima, V.
AU - Benner, P.
PY - 2014
SP - 404
EP - 409
DO - 10.5220/0005117004040409
PB - SciTePress