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Scaling of the discrete-time algebraic Riccati equation to enhance stability of the Schur solution method

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3 Author(s)
T. Gudmundsson ; Dept. of Electr. & Comput. Eng., California Univ., Santa Barbara, CA, USA ; C. Kenney ; A. J. Laub

A simple scaling procedure for discrete-time Riccati equations is introduced. This procedure eliminates instabilities which can be associated with the linear equation solution step of the generalized Schur method without changing the condition of the underlying problem. A computable bound for the relative error of the solution of the Riccati equation is also derived.<>

Published in:

IEEE Transactions on Automatic Control  (Volume:37 ,  Issue: 4 )