Unconditionally stable scheme for Riccati equation
François Dubois, Abdelkader Saïdi · Springer Link (Chiba Institute of Technology) · 2002
In this communication we present a numerical scheme for the resolution of matrix Riccati equation used in control problems. The scheme is unconditionnally stable and the solution is definite positive at each time step of the resolution. We prove the convergence in the scalar case and present several numerical experiments for classical test cases.