The Extended Hamiltonian Algorithm for the Solution of the Algebraic Riccati Equation

We use a second-order learning algorithm for numerically solving a class of the algebraic Riccati equations. Specifically, the extended Hamiltonian algorithm based on manifold of positive definite symmetric matrices is provided. Furthermore, this algorithm is compared with the Euclidean gradient alg...

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Bibliographic Details
Main Authors: Zhikun Luo, Huafei Sun, Xiaomin Duan
Format: Article
Language:English
Published: Wiley 2014-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/2014/693659
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