Matrix bounds of the discrete ARE solution |
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Authors: | Sang Woo Kim Poo Gyeon Park |
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Affiliation: | Department of Electronic and Electrical Engineering, Pohang University of Science and Technology, Pohang, Kyung-Book 790-784, South Korea |
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Abstract: | This paper provides new lower and upper matrix bounds of the solution to the discrete algebraic Riccati equation. The lower bound always works if the solution exists. The upper bounds are presented in terms of the solution of the discrete Lyapunov equation and its upper matrix bound. The upper bounds are always calculated if the solution of the Lyapunov equation exists. A numerical example shows that the new bounds are tighter than previous results in many cases. |
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Keywords: | Discrete algebraic Riccati equation Discrete Lyapunov equation Matrix bound |
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