riccati - Riccati equation

Calling Sequence

X=riccati(A,B,C,dom,[typ])

[X1,X2]=riccati(A,B,C,dom,[typ])

Parameters

• A,B,C : real matrices nxn, B and C symetric.
• dom : 'c' or 'd' for the time domain (continuous or discrete)
• typ : string : 'eigen' for block diagonalization or schur' for Schur method.
• X1,X2,X : square real matrices (X2 invertible), X symmetric

Description

X=riccati(A,B,C,dom,[typ]) solves the Riccati equation:

A'*X+X*A-X*B*X+C=0 
   

in continuous time case, or:

 A'*X*A-(A'*X*B1/(B2+B1'*X*B1))*(B1'*X*A)+C-X
   

with B=B1/B2*B1' in the discrete time case. If called with two output arguments, riccati returns X1,X2 such that X=X1/X2.

See Also

ricc  ric_desc