Discrete Riccati equation solutions: Partitioned algorithms
DEMETRIOS G. LAINIOTIS · IEEE Transactions on Automatic Control · 1975
Using the "partitioning" approach to estimation and control, robust and fast computational algorithms for the solution of discrete Riccati equations (RE) are presented. The algorithms have a decomposed or partitioned structure that results through partitioning the total computation interval into subintervals and solving for the RE in each subinterval with zero initial conditions for each subinterval Thus, effectively, the RE solution over the whole interval has been decomposed into a set of elemental piece-wise solutions which are both simple as well as completely decoupled from each other and as such computable in either a parallel or serial processing mode. Further, the overall solution is given in terms of a simple recursive operation on the elemental solutions. The partitioned algorithms are theoretically interesting as well as computationally attractive.