Riccati {dse1} | R Documentation |
Solve a Matrix Riccati Equation
Riccati(A, B, fuzz=1e-10, iterative=F)
Solve Riccati equation P = APA' + B by eigenvalue decompostion of a symplectic matrix or by iteration.
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This procedure has not been tested.
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.