An interesting property of the doubling algorithm for solving the discrete time Riccati Equation

  • N.D. Assimakis
  • S. Roulis
  • D.G. Lainiotis
  • M. Triandafillidis

Abstract

In this paper it is shown that the Doubling Algorithm for solving the discrete time Riccati Equation also provides the steady state solution of a related dual Riccati Equation.
Published
2005-11-01
Section
Articles