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Numerical computation of cross‐coupled algebraic Riccati equations related to H2/H∞ control problem for singularly perturbed systems

In this paper, we present a numerical algorithm to the cross‐coupled algebraic Riccati equations(CARE) related to H2/H∞ control problems for singularly perturbed systems (SPS) by means of Newton's method. The resulting algorithm can be widely used to solve Nash game problems and robust control problems because the CARE is solvable even if the quadratic term has an indefinite sign. We prove that the resulting iterative algorithm has the property of the quadratic convergence. Using the solution of the CARE, we construct the high‐order approximate H2/H∞ controller. Copyright © 2004 John Wiley & Sons, Ltd.