Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4635376 | Applied Mathematics and Computation | 2007 | 16 Pages |
Abstract
In this paper, a computational algorithm for solving sign-indefinite general multiparameter algebraic Riccati equation (SIGMARE) that arises in the Hâ filtering problem is investigated. After establishing the asymptotic structure of the solution of the SIGMARE, in order to solve the SIGMARE, Newton's method and two fixed point algorithms are combined. As a result, the new iterative algorithm achieves the quadratic convergence property and succeeds in reducing the computing workspace dramatically. As another important feature, the convergence criteria for small parameters εi is derived for the first time. Moreover, it is shown that the uniqueness and positive semidefiniteness of the convergence solutions are guaranteed in the neighborhood of the initial conditions.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Hiroaki Mukaidani,