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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    Titel :

    A new iterative algorithm to solve periodic Riccati differential equations with sign indefinite quadratic terms


    Beteiligte:
    Feng, Yantao (Autor:in) / Varga, Andreas (Autor:in) / Anderson, Brian D.O. (Autor:in) / Lovera, Marco (Autor:in)

    Erschienen in:

    Erscheinungsdatum :

    2011-04-01



    Medientyp :

    Aufsatz (Zeitschrift)


    Format :

    Elektronische Ressource


    Sprache :

    Englisch