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dse (version 2014.11-1)

Riccati: Riccati Equation

Description

Solve a Matrix Riccati Equation

Usage

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

Arguments

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

Value

  • xxx

concept

DSE

Details

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

References

Vaccaro, R. J. and Vukina, T. (1993), A Solution to the Positivity Problem in the State-Space Approach to Modeling Vector-Valued Time Series. Journal of Economic Dynamics and Control, 17, 401--421.

Anderson, B. D. O. and Moore, J. B. (1979) Optimal Filtering. Prentice-Hall. (note sec 6.7.)

Vaughan, D. (1970) A Nonrecursive Algebraic Solution for the Discrete Riccati Equation. IEEE Tr AC, 597--599.

Laub, A. J. (1983) Numerical Aspects of Solving Algebraic Riccati Equations Proc IEEE conf Decision and Control, 183--186.

Gudmundsson T., Kenney, C., and Laub, A. J. (1992) Scaling of the Discrete-Time Algebraic Riccati Equation to Enhance Stability of the Schur Solution Method IEEE Tr AC, 37, 513--518.

See Also

eigen