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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 and the local quadratic rate of convergence are both established. A numerical example is given to illustrate our algorithm.
Published in:
Automatic Control, IEEE Transactions on
(Volume:56
,
Issue:
4
)
Date of Publication: April 2011
- Page(s):
- 929 - 934
- ISSN :
- 0018-9286
- INSPEC Accession Number:
- 11910141
- Digital Object Identifier :
- 10.1109/TAC.2010.2101710
- Product Type:
- Journals & Magazines
- Date of Publication :
- 23 December 2010
- Date of Current Version :
- 05 April 2011
- Issue Date :
- April 2011
- Sponsored by :
- IEEE Control Systems Society
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