SA223, Science Building I, NCTU

(交通大學科學一館 223室)

Newton’s Method for Coupled Continuous-Time Algebraic Riccati Equations

Eric King-Wah Chu (Monash University)

Abstract:

We are interested in the solution of the coupled continuous-time algebraic Riccati equation, arising in the optimal control of Markovian jump linear systems. Newton's method is applied to construct the solution, leading to some coupled Lyapunov equations. Several iterative methods of $O(n^3)$ computational complexity for the coupled Lyapunov equation and Newton's method for the coupled continuous-time algebraic Riccati equation have been analyzed . Illustrative examples will be presented.