A convergence result for matrix Riccati differential equations associated with M-matrices
| dc.contributor.author | Guo, Chun-Hua | |
| dc.contributor.author | Yu, Bo | |
| dc.date.accessioned | 2014-04-23T04:05:40Z | |
| dc.date.available | 2014-04-23T04:05:40Z | |
| dc.date.issued | 2014-04-22 | |
| dc.description.abstract | The initial value problem for a matrix Riccati differential equation associated with an $M$-matrix is known to have a global solution $X(t)$ on $[0, \infty)$ when $X(0)$ takes values from a suitable set of nonnegative matrices. It is also known, except for the critical case, that as $t$ goes to infinity $X(t)$ converges to the minimal nonnegative solution of the corresponding algebraic Riccati equation. In this paper we present a new approach for proving the convergence, which is based on the doubling procedure and is also valid for the critical case. The approach also provides a way for solving the initial value problem and a new doubling algorithm for computing the minimal nonnegative solution of the algebraic Riccati equation. | en_US |
| dc.description.authorstatus | Faculty | en_US |
| dc.description.peerreview | yes | en_US |
| dc.description.sponsorship | NSERC, NSFC | en_US |
| dc.identifier.uri | https://hdl.handle.net/10294/5256 | |
| dc.language.iso | en | en_US |
| dc.subject | Riccati differential equation | en_US |
| dc.subject | M-matrix | en_US |
| dc.subject | Global solution | en_US |
| dc.subject | Convergence | en_US |
| dc.subject | Doubling algorithm | en_US |
| dc.subject | Algebraic Riccati equation | en_US |
| dc.subject | Minimal nonnegative solution | en_US |
| dc.title | A convergence result for matrix Riccati differential equations associated with M-matrices | en_US |
| dc.type | Article | en_US |