Issue |
ESAIM: Proc.
Volume 8, 2000
Contrôle des systèmes gouvernés par des équations aux dérivées partielles
|
|
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Page(s) | 39 - 52 | |
DOI | https://doi.org/10.1051/proc:2000003 | |
Published online | 15 August 2002 |
Unconditionally stable scheme for Riccati equation
1
Conservatoire National des Arts et Métiers, 15 rue Marat, F-78 210 Saint Cyr l'Ecole, France
2
Institut de Recherche Mathématique Avancée, Université de Louis Pasteur de Strasbourg, 7 Rue René-Descartes, 67084 Strasbourg Cedex, France
In this communication we present a numerical scheme for the resolution of matrix Riccati equation used in control problems. The scheme is unconditionnally stable and the solution is definite positive at each time step of the resolution. We prove the convergence in the scalar case and present several numerical experiments for classical test cases.
© EDP Sciences, ESAIM, 2000
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