The Structure-preserving Doubling Numerical Algorithm of the Continuous Coupled Algebraic Riccati Equation

Abstract

In the paper, we apply a structure-preserving doubling algorithm to solve the continuous coupled algebraic Riccati equation (CCARE). Using the existence and uniqueness of the CCARE, we show that the iteration solution of the CCARE are positive semi-definite, symmetric, and unique. Further, we discuss the convergent analysis of the structure-preserving doubling algorithm. Moreover, we present two modified structure-preserving doubling algorithms. Finally, we offer corresponding numerical examples to illustrate the effectiveness of the derived numerical algorithms.