Matrix Riccati Difference Equations Associated with the First Order Matrix Difference System

摘要

The general solution of the matrix Riccati difference equation was obtained by using a quasi-linearization technique. Using this technique we convert the Riccati difference equation to a Liapunov type matrix difference system. Monotonicity of successive approximations is presented. This paper also provides sensitivity analysis of the non-linear matrix Riccati difference equation.