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A lower bound for the solution of the algebraic Riccati equation of optimal control and a geometric convergence rate for the Kleinman algorithm

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1 Author(s)
J. Allwright ; Imperial College of Science and Technology, London, England

A new sharp lower bound for the solution of the algebraic Riccati equation of optimal control is presented for the case when the state cost matrix Q is positive definite. The bound is easier to evaluate than previous sharp bounds. It is then used in the derivation of a geometric convergence rate for the Kleinman algorithm (an iterative method for solving the algebraic Riccati equation).

Published in:

IEEE Transactions on Automatic Control  (Volume:25 ,  Issue: 4 )