Homographic scheme for Riccati equation

Published 11 Jan 2011 in math.NA | (1101.2060v2)

Abstract: In this paper we present a numerical scheme for the resolution of matrix Riccati equation, usualy used in control problems. The scheme is unconditionnaly 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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