A method to solve the discrete-time coupled algebraic Riccati equations. (English) Zbl 1162.65021

The solution of a set of discrete-time coupled algebraic Riccati equations is considered. At first the system is transformed into another system of Riccati equations. Then, two iterative methods for computing a symmetric solution of this system are proposed. In each iteration step one has to solve a Stein equation. Convergence properties of the proposed algorithms are proved. Finally, some numerical examples are given.


65F30 Other matrix algorithms (MSC2010)
15A24 Matrix equations and identities
93C55 Discrete-time control/observation systems
65K10 Numerical optimization and variational techniques
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