The Davidon method of solution of the algebraic matrix Riccati equation†
F. T. MAN · International Journal of Control · 1969
An algorithm is presented for solving the algebraic matrix Riccati equation using the Fletcher-Powell reformulation of Davidon's method of function minimization. The function to be minimized, as well as its gradient vector required by the minimization process, are evaluated in closed-form, thereby preserving the simplicity and stability properties of the minimization procedure. The quadratic convergence of the algorithm is not dependent on the initial choice of the approximate solution.