Riccati equation solution method for the computation of the extreme solutions of X + A* X-1 A = Q and X - A* X-1 A = Q

Abstract

Algebraic and recursive methods for computing the extreme solutions of the matrix equations X + A* X-1 A = Q and X - A* X -1 A = Q are presented in this paper. The proposed algorithms are based on the solution of the corresponding discrete time Riccati equations. ©2009 IEEE.