An approximate solution of the Riccati matrix equation
Authors:
M. S. Henry and F. M. Stein
Journal:
Proc. Amer. Math. Soc. 25 (1970), 8-12
MSC:
Primary 34.04
DOI:
https://doi.org/10.1090/S0002-9939-1970-0261065-4
MathSciNet review:
0261065
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Abstract: The Riccati matrix equation has been the subject of several recent papers. In the present paper, the solution to this equation is approximated by a sequence of matrices whose elements are rational functions. It is shown that the sequence converges uniformly to the solution. Furthermore, each element of the sequence is constructed from a matrix polynomial which is in a sense the best approximation to the solution of the linear system associated with the Riccati matrix equation.
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- Philip J. Davis, Interpolation and approximation, Blaisdell Publishing Co. Ginn and Co. New York-Toronto-London, 1963. MR 0157156
- Dunham Jackson, The theory of approximation, American Mathematical Society Colloquium Publications, vol. 11, American Mathematical Society, Providence, RI, 1994. Reprint of the 1930 original. MR 1451140
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Keywords:
Riccati matrix equation,
associated Riccati system,
best approximation,
matrix polynomial,
bounded linear operation,
Banach algebra,
rational function,
rate of convergence
Article copyright:
© Copyright 1970
American Mathematical Society