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1 LM-Orsay - Laboratoire de Mathématiques d-Orsay 2 IRMA - Institut de Recherche Mathématique Avancée

Abstract : 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.

Keywords : control problems ordinary differential equations stability





Autor: François Dubois - Abdelkader Saïdi -

Fuente: https://hal.archives-ouvertes.fr/



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