Unconditionnally stable scheme for Riccati equation

Published 21 Jan 2011 in math.NA | (1101.4142v1)

Abstract: We present a numerical scheme for the resolution of matrix Riccati equation used in control problems. The scheme is unconditionnally 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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