Homographic scheme for Riccati equation

Details Homographic scheme for Riccati equation Homographic scheme for Riccati equation

2011-01-11

arxiv.org/abs/1101.2060v2

Mathematics

Numerical Analysis

40 pages

Scientific paper

In this paper we present a numerical scheme for the resolution of matrix
Riccati equation, usualy used in control problems. The scheme is
unconditionnaly 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.

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