Solving differential matrix Riccati equations by a piecewise-linearized method based on diagonal Padé approximants

Abstract

Differential Matrix Riccati Equations (DMREs) appear in several branches of science such as applied physics and engineering. For example, these equations play a fundamental role in control theory, optimal control, filtering and estimation, decoupling and order reduction, etc. In this paper a new method based on a theorem proved in this paper is described for solving DMREs by a piecewise-linearized approach. This method is applied for developing two block-oriented algorithms based on diagonal Padé approximants. MATLAB versions of the above algorithms are developed, comparing, under equal conditions, accuracy and computational costs with other piecewise-linearized algorithms implemented by the authors. Experimental results show the advantages of solving stiff or non-stiff DMREs by the implemented algorithms.