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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    Title :

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


    Contributors:

    Published in:

    Publication date :

    2011-04-01



    Type of media :

    Article (Journal)


    Type of material :

    Electronic Resource


    Language :

    English