Authors:
Vasile Sima
1
;
2
Affiliations:
1
Modelling, Simulation, Optimization Department, National Institute for Research & Development in Informatics, Bd. Mareşal Averescu, Nr. 8–10, Bucharest, Romania
;
2
Technical Sciences Academy of Romania, Romania
Keyword(s):
Balancing, Hamiltonian Matrix, Numerical Methods, Optimal Control, Riccati Equation.
Abstract:
The solution of algebraic Riccati equations (AREs) is a fundamental computation in optimal control and other domains. The available solvers lack the flexibility in choosing a solution technique, or specifying options and parameters. The quality of a computed solution depends not only on the problem conditioning, but also on the various decisions made by the solver designer. This paper proposes a flexible solver for continuous-time AREs that allows the user to choose among several structured solution approaches, orthogonalization methods, and balancing options and parameters. No selection ensures the best results for all problems. Therefore, it is sometimes useful to try alternative pathways and find the best solution. The new solver has been used to solve the examples from the SLICOT CAREX benchmark collection. The numerical results in extensive tests illustrate the good performance of the proposed flexible solver.