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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
|
| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/693659 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | 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 algorithm, the Riemannian gradient algorithm, and the new subspace iteration method.
Simulation examples show that the convergence speed of the extended Hamiltonian algorithm is the
fastest one among these algorithms. |
|---|---|
| ISSN: | 1110-757X 1687-0042 |