Theory and numerical solution of differential and algebraic riccati equations

Abstract

Since Kalman’s seminal work on linear-quadratic control and estimation problems in the early 1960s, Riccati equations have been playing a central role in many computational methods for solving problems in systems and control theory, like controller design, Kalman filtering, model reduction, and many more. We will review some basic theoretical facts as well as computationalmethods to solve them, with a special emphasis on the many contributions Volker Mehrmann had regarding these subjects.