A generalized eigenvalue approach for solving Riccati equations. (English) Zbl 0463.65024
MSC:
65F15 | Numerical computation of eigenvalues and eigenvectors of matrices |
65K10 | Numerical optimization and variational techniques |
93B40 | Computational methods in systems theory (MSC2010) |
49J15 | Existence theories for optimal control problems involving ordinary differential equations |