Solving SLICOT benchmarks for continuous-time algebraic Riccati equations by Hamiltonian solvers

Abstract

Solving standard continuous-time algebraic Riccati equations using the structure-exploiting Hamiltonian approach is briefly presented. A new solver based on the SLICOT Library subroutines has been developed and tested on the CAREX benchmark collection included in SLICOT. The numerical results show similar or better accuracy (in terms of the relative residuals, or relative errors, when exact solutions are known) in comparison with the state-of-the-art MATLAB solver. Moreover, the new solver is faster for moderate size Riccati equations.