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

作者：Haqiri Tayyebe; Poloni Federico^*

来源：Journal of Computational and Applied Mathematics, 2017, 313: 515-535.

DOI：10.1016/j.cam.2016.09.021

• Algebraic Riccati equation
• Stabilizing solution
• Interval arithmetic
• Verified computation
• Krawczyk's method

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 A*X + XA + Q = XGX building on the work of Hashemi (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, 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 X, 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.

• 出版日期2017-3-15