On computing the stabilizing solution of a class of discrete‐time periodic Riccati equations

Publisher: John Wiley & Sons Inc

ISSN: 1049-8923

Source: INTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL, Vol.25, Iss.7, 2015-05, pp. : 1066-1093

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Abstract

This paper addresses the problem of solving a class of periodic discrete‐time Riccati equation with an indefinite sign of its quadratic term. Such an equation is closely related to the so‐called full‐information H ∞  control of discrete‐time periodic systems. A globally convergent iterative algorithm with a local quadratic convergence rate is proposed for this purpose. An application to the problem of H ∞  filtering of discrete‐time periodic systems is also developed and illustrated via a numerical example. Copyright © 2013 John Wiley & Sons, Ltd.