A new inversion-free iterative algorithm for the discrete algebraic Riccati equation
Li Wang, Yuli Zhu
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Source: Crossref
Published: Dec 20, 2023
DOI: 10.1093/imamci/dnad033
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Abstract In this paper, by the transformation form of the discrete algebraic Riccati equation (DARE), we propose a new inverse-free iterative algorithm to obtain the positive definite solution of the DARE. Furthermore, the monotone convergence is proved and convergence rate analysis is presented for the derived algorithm. Compared with some existing algorithms, numerical examples demonstrate the feasibility and effectiveness of our algorithm.
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