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A New Iterative Algorithm to Solve Periodic Riccati Differential Equations With Sign Indefinite Quadratic Terms

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4 Author(s)
Yantao Feng ; Tongji Univ., Shanghai, China ; Varga, A. ; Anderson, B.D.O. ; Lovera, M.

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.

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Automatic Control, IEEE Transactions on  (Volume:56 ,  Issue: 4 )