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Authors: Vasile Sima 1 and Peter Benner 2

Affiliations: 1 Modelling, Simulation, Optimization Department, National Institute for Research & Development in Informatics, Bd. Mareşal Averescu, Nr. 8–10, Bucharest and Romania ; 2 Max Planck Institute for Dynamics of Complex Technical Systems, Sandtorstraße 1, Magdeburg and Germany

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

Related Ontology Subjects/Areas/Topics: Industrial Engineering ; Informatics in Control, Automation and Robotics ; Intelligent Control Systems and Optimization ; Optimization Algorithms ; Performance Evaluation and Optimization ; Robotics and Automation

Abstract: A Newton-like algorithm and some line search strategies for solving discrete-time algebraic Riccati equations are discussed. Algorithmic and implementation details incorporated in the developed solver are described. Some numerical results of an extensive performance investigation on a large collection of examples are summarized. These results often show significantly improved accuracy, measured in terms of normalized and relative residuals, in comparison with the state-of-the-art MATLAB function. The new solver is strongly recommended for improving the solutions computed by other solvers.

CC BY-NC-ND 4.0

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Paper citation in several formats:
Sima, V. and Benner, P. (2018). Numerical Investigation of Newton’s Method for Solving Discrete-time Algebraic Riccati Equations. In Proceedings of the 15th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO, ISBN 978-989-758-321-6; ISSN 2184-2809, pages 66-75. DOI: 10.5220/0006860600660075

@conference{icinco18,
author={Vasile Sima. and Peter Benner.},
title={Numerical Investigation of Newton’s Method for Solving Discrete-time Algebraic Riccati Equations},
booktitle={Proceedings of the 15th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,},
year={2018},
pages={66-75},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0006860600660075},
isbn={978-989-758-321-6},
issn={2184-2809},
}

TY - CONF

JO - Proceedings of the 15th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,
TI - Numerical Investigation of Newton’s Method for Solving Discrete-time Algebraic Riccati Equations
SN - 978-989-758-321-6
IS - 2184-2809
AU - Sima, V.
AU - Benner, P.
PY - 2018
SP - 66
EP - 75
DO - 10.5220/0006860600660075

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