Unconditionally stable scheme for Riccati equation

François Dubois, Abdelkader Saïdi, Francis Conrad, Marius Tucsnak
2000 ESAIM: Proceedings and Surveys  
We present a numerical scheme for the resolution of matrix Riccati equation used in control problems. The scheme is unconditionnally stable and the solution is definite positive at each time step of the resolution. We prove the convergence in the scalar case and present several numerical experiments for classical test cases.
doi:10.1051/proc:2000003 fatcat:ba4fmy2rjrbcnjiur7cilwtpay