A generalized structure-preserving doubling algorithm for generalized discrete-time algebraic Riccati equations

In Chu et al. (2004), an efficient structure-preserving doubling algorithm (SDA) was proposed for the solution of discrete-time algebraic Riccati equations (DAREs). In this paper, we generalize the SDA to the G-SDA, for the generalized DARE: E T XE = A T XA − (A T XB…+C TS )(R + B T XB)−1(B T XA + S TC ) + C T QC. Using Cayley transformation twice, we transform the generalized DARE to a DARE in a standard symplectic form without any explicit inversions of (possibly ill-conditioned) R and E. The SDA can then be applied. Selected numerical examples illustrate that the G-SDA is efficient, out-performing other algorithms.

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