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.
A new iterative algorithm to solve periodic Riccati differential equations with sign indefinite quadratic terms
IEEE Transactions on Automatic Control ; 56 , 4 ; 929-934
2011-04-01
Article (Journal)
Electronic Resource
English
British Library Online Contents | 1996
|British Library Conference Proceedings | 2012
|