Scilab Function

riccsl - Riccati equation solver

Calling Sequence

[X,RCOND,FERR]=riccsl(A,C,D,'type','method')

Parameters

Description

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.

REFERENCE

See Also