This concise and comprehensive treatment of the basic theory of algebraic Riccati equations describes the classical as well as the more advanced algorithms for their solution in a manner that is accessible to both practitioners and scholars. It is the first book in which nonsymmetric algebraic Riccati equations are treated in a clear and systematic way. Some proofs of theoretical results are simplified and a unified notation is adopted. The book includes a unified discussion of doubling algorithms and a detailed description of all classical and advanced algorithms for solving algebraic Riccati equations and their MATLAB® codes. This will help the reader to gain an understanding of the computational issues and provide ready-to-use implementation of the different solution techniques. Ideal for researchers working in the design and analysis of algorithms and for practitioners who need to understand the available algorithms and software.
• The first clear and systematic treatment of nonsymmetric algebraic Riccati equations • MATLAB® code available for download from the book's webpage • A suitable text for any course in advanced numerical linear algebra or advanced numerical analysis
Contents
Preface; 1. Introduction and preliminaries; 2. Theoretical analysis; 3. Classical algorithms; 4. Structured invariant subspace methods; 5. Doubling algorithms; 6. Algorithms for large scale problems; Appendix: basic properties; Listings; Notation; Bibliography; Index.
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