Fast Doubling Algorithm for the Solution of the Riccati Equation Using Cyclic Reduction Method

A new iterative doubling algorithm for the solution of the discrete time Riccati equation is proposed. The algorithm is based on the Cyclic Reduction Method (CRM). The proposed doubling algorithm does not require non-singularity of the transition matrix and is faster than the classical doubling algo...

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Bibliographic Details
Published in2020 International Conference on Mathematics and Computers in Science and Engineering (MACISE) pp. 1 - 5
Main Authors Assimakis, Nicholas, Adam, Maria
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.01.2020
Subjects
Approximation algorithms
Covariance matrices
Customer relationship management
Cyclic Reduction Method
Doubling algorithm
Lyapunov equation
Mathematical model
Noise measurement
Riccati equation
Riccati equations
Symmetric matrices
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DOI10.1109/MACISE49704.2020.00007

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Summary:A new iterative doubling algorithm for the solution of the discrete time Riccati equation is proposed. The algorithm is based on the Cyclic Reduction Method (CRM). The proposed doubling algorithm does not require non-singularity of the transition matrix and is faster than the classical doubling algorithm. The method can be applied to infinite measurement noise case, where the Riccati equation takes the form of the Lyapunov equation. In this case, the classical doubling algorithm is faster.
DOI:10.1109/MACISE49704.2020.00007