Upper and lower bounds on the solution of the algebraic Riccati equation
K. Yasuda, Kazumasa HIRAI · IEEE Transactions on Automatic Control · 1979
Given an algebraic matrix Riccati equationA'K+ KA - KBB'K + Q =0, the fundamental inequalities which are satisfied by the extremal eigenvalues of the positive definite solutionK, are established. It Is illustrated that these resultant estimations appear to be considerably tighter than previously available results in many cases. Similar results are obtained for the discrete algebraic matrix Riccati equation.