A novel iterative algorithm for Riccati matrix equation in discrete-time Markov jump system
Zhi Li, Ying Zhang, Rui Zhang · 2021 China Automation Congress (CAC) · 2021
In this paper, a novel iterative algorithm is proposed to obtain the positive definite solutions of the discrete coupled Riccati matrix equations. Based on the idea of the inversion-free iteration, the iterative method is developed to reduce calculating the inverse of the matrices by introducing Schulz iteration. Further, latest updated information and a weighting coefficient are introduced to raise the convergence performances of the established algorithm. Finally, a numerical example is provided to validate the effectiveness of the presented algorithm.