English

Methods for verified stabilizing solutions to continuous-time algebraic Riccati equations

Numerical Analysis 2021-03-17 v2

Abstract

We describe a procedure based on the Krawczyk method to compute a verified enclosure for the stabilizing solution of a continuous-time algebraic Riccati equation AX+XA+Q=XGXA^*X+XA+Q=XGX building on the work of [B.~Hashemi, \emph{SCAN} 2012] and adding several modifications to the Krawczyk procedure. We show that after these improvements the Krawczyk method reaches results comparable with the current state-of-the-art algorithm [Miyajima, \emph{Jpn. J. Ind. Appl. Math} 2015], and surpasses it in some examples. Moreover, we introduce a new direct method for verification which has a cubic complexity in term of the dimension of XX, employing a fixed-point formulation of the equation inspired by the ADI procedure. The resulting methods are tested on a number of standard benchmark examples.

Cite

@article{arxiv.1509.02015,
  title  = {Methods for verified stabilizing solutions to continuous-time algebraic Riccati equations},
  author = {Tayyebe Haqiri and Federico Poloni},
  journal= {arXiv preprint arXiv:1509.02015},
  year   = {2021}
}

Comments

revised version

R2 v1 2026-06-22T10:50:42.463Z