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Riccati: Riccati Equation

Description

Solve a Matrix Riccati Equation

Usage

Riccati(A, B, fuzz=1e-10, iterative=F)

Arguments

A
A matrix.
B
A matrix.
fuzz
The tolerance used for testing convergence.
iterative
If T an iterative solution technique is used.

Value

  • xxx

Details

Solve Riccati equation P = APA' + B by eigenvalue decompostion of a symplectic matrix or by iteration.

References

Vaccaro and Vukina, Anderson & Moore, 1979 sec 6.7, D.Vaughan (Oct 1970) IEEE Tr AC.

A. Laub (1983), Proc IEEE conf Decision and Control.

Gudmundsson, Kenney and Laub (Apr 1992) IEEE Tr AC.

See Also

eigen