The Davidon method of solution of the algebraic matrix Riccati equation†

†Communicated by Dr. A. T. Fuller.

Abstract

An algorithm is presented for solving the algebraic matrix Riccati equation using the Fletcher-Powell reformulation of Davidon's method of function minimization. The function to be minimized, as well as its gradient vector required by the minimization process, are evaluated in closed-form, thereby preserving the simplicity and stability properties of the minimization procedure. The quadratic convergence of the algorithm is not dependent on the initial choice of the approximate solution.

Notes

†Communicated by Dr. A. T. Fuller.