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Sociedad Colombiana de Matemáticas:Publicaciones
Lecturas Matemáticas
Volumen 29 [1] (2008)Páginas 13-22

Solving algebraic Riccati equation using KovarikÂ’s method Part I: Theoretical results


Abstract. One of the common methods to solve algebraic Riccati equations is using matrix sign function to calculate stable invariant subspaces. In this paper, we show that it is possible to compute the matrix sign function using the quadratically convergent Kovarik’s method. Since the explicit inversion of a matrix, in every iteration, must be computed, this will introduce unstability in numerical results.


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