Numerical solution of discrete-time algebraic Riccati equation

In this paper, we present a naturally numerical method for finding the maximal hermitian solution X+ of the Discrete-Time Algebraic Riccati Equation (DTARE) based on the convergence of a monotone sequence of hermitian matrices. MIRAMARE TRIESTE August 1999 E-mail: nktan@mathdep.hcmuns.edu.vn 227 Nguyen Van Cu, Q5, HCMC, Vietnam.

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