Fast iterative solutions of Riccati and Lyapunov equations

Abstract

In this article, new iterative algorithms for solving the discrete Riccati and Lyapunov equations are derived in the case where the transition matrix is diagonalizable with real eigenvalues. It is shown that the proposed iterative algorithms are faster than the classical ones, even for a small number of iterations.

Keywords

• riccati equation
• lyapunov equation
• kalman filter
• steady state
• 15a24
• 15b57
• 93c55