Numerical Solution of Algebraic Riccati Equations

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 have been simplified and a unified notation has been adopted.

Readers will find a discussion of doubling algorithms, which are effective in solving algebraic Riccati equations, and a detailed description of all classical and advanced algorithms for solving algebraic Riccati equations, along with their MATLAB® codes. This will help the reader gain understanding of the computational issues and provide ready-to-use implementation of the different solution techniques.