Kybernetika 29 no. 1, 18-29, 1993

Perturbation analysis of the discrete Riccati equation

M. M. Konstantinov, P. Hr. Petkov and N. D. Christov


The sensitivity of the discrete-time matrix Riccati equation relative to perturbations in its coefficients is studied. Both local and non-local perturbation bounds are obtained. In particular the conditioning of the equation is determined.


93C15, 49N10, 93B40, 93C55