Numerical Method for a Class of Algebraic Riccati Equations
Numerical Analysis
2020-11-09 v2 Numerical Analysis
Abstract
We study an iteration approach to solve the coupled algebraic Riccati equations when they appear in general two player closed-loop type Nash differential games over an infinite time horizon. Also, we propose an effective algorithm for finding positive definite solutions. In particular, we present various numerical examples connected with matrix Riccati equations according to different dimensions.
Cite
@article{arxiv.2011.00047,
title = {Numerical Method for a Class of Algebraic Riccati Equations},
author = {Lucky Qiaofeng Li and Xizhi Su},
journal= {arXiv preprint arXiv:2011.00047},
year = {2020}
}