riccsl - Riccati equation solver
Riccati solver.
Continuous time:
X=riccsl(A,C,D,'cont','method')
gives a solution to the continuous time ARE
A'*X + X*A + C - X*D*X = 0
Discrete time:
X=riccsl(A,C,D,'disc','method')
gives a solution to the discrete time ARE
A'*X*inv(I + D*X)*A - X + C = 0
C, D are symmetric .It is assumed that the matrices A, C and D are such that the corresponding matrix pencil has N eigenvalues with moduli less than one.
Error bound on the solution and a condition estimate are also provided. It is assumed that the matrices A, C and D are such that the corresponding Hamiltonian matrix has N eigenvalues with negative real parts.
See SCIDIR/routines/control/riccpack. Code written by P. Petkov.