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A computational algorithm for solving a system of coupled matrix algebraic equations is presented in this paper. Such equations arise in optimal control problems of linear systems with jump parameters.
Coupled matrix Riccati equation, jump parameters, linear systems, Newton's method, optimal control.
V. Gourishankar, A.I.A. Salama, "A Computational Algorithm for Solving a System of Coupled Algebraic Matrix Riccati Equations", IEEE Transactions on Computers, vol. 23, no. , pp. 100-102, January 1974, doi:10.1109/T-C.1974.223788
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