Abstract
The fixed-point method is developed for obtaining an efficient numerical solution of the linear quadratic gaussian problem for singularly perturbed systems. It is shown that each iteration step improves the accuracy by an order of magnitude, that is, the accuracy 0(ek) can be obtained by performing only k — 1 iterations. In addition, only low-order systems are involved in algebraic manipulations and no analyticity requirements are imposed on the system coefficients.
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