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An iterative algorithm to solve periodic Riccati differential equations with an indefinite quadratic term

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2 Author(s)
Yantao Feng ; Res. Sch. of Inf. Sci. & Eng., Australian Nat. Univ., Canberra, ACT, Australia ; Anderson, B.D.O.

An iterative algorithm to solve periodic Riccati differential equations (PRDE) with an indefinite quadratic term is proposed. In our algorithm, we replace the problem of solving a PRDE with an indefinite quadratic term by the problem of solving a sequence of PRDEs with a negative semidefinite quadratic term which can be solved by existing methods. The global convergence is guaranteed and a proof is given.

Published in:

Decision and Control, 2008. CDC 2008. 47th IEEE Conference on

Date of Conference:

9-11 Dec. 2008