Name
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 symmetric.
- 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.