Unconditionnally stable scheme for Riccati equation

Details Unconditionnally stable scheme for Riccati equation Unconditionnally stable scheme for Riccati equation

2011-01-21

arxiv.org/abs/1101.4142v1

ESAIM: Proceedings 8 (2000) p. 39-52

Mathematics

Numerical Analysis

11 pages

Scientific paper

10.1051/proc:2000003

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.

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