An iterative algorithm to solve Algebraic Riccati Equations with an indefinite quadratic term is proposed. The global convergence and local quadratic rate of convergence of the algorithm are guaranteed and a proof is given. Numerical examples are also provided to demonstrate the superior effectiveness of the proposed algorithm when compared with methods based on finding stable invariant subspaces of Hamiltonian matrices. A game theoretic interpretation of the algorithm is also provided.
No takes yet. Share an insight, caveat, or question.
Lanzon et al. (2008) studied this question.
Synapse has enriched 3 closely related papers on similar clinical questions. Consider them for comparative context: