Iterative algorithms for discrete periodic Riccati matrix equations
Ai‐Guo Wu, Ying Zhang, Tongyang Jiang · International Journal of Systems Science · 2019
In this paper, two iterative algorithms are constructed to obtain the positive definite solutions of the discrete periodic algebraic Riccati matrix equations. In these two algorithms, the estimation of the unknown matrices are updated by using the available estimation information at the current iteration step. The convergence properties of the proposed algorithms are also given. Finally, numerical examples are employed to illustrate the effectiveness of the proposed algorithms.