RiccatiSolve

RiccatiSolve({A,B},{Q,R})

An algebraic Riccati equation is a type of nonlinear equation that arises in the context of infinite-horizon optimal control problems in continuous time or discrete time. The continuous time algebraic Riccati equation (CARE): A^{T}·X+X·A-X·B·R^{-1}·B^{T}·X+Q==0. And the respective linear controller is: K = R^{-1}·B^{T}·P. The solver receives A, B, Q and R and computes P.

See:

• Wikipedia - Algebraic Riccati equation

Examples

>> RiccatiSolve({ {{3, -2}, {4, -1}}, {{0}, {1}} }, { {{1.0,0.0},{0.0,1.0}}, {{1.0}} })
{{19.75982, -7.64298},
 {-7.64298, 4.70718}}

Implementation status

• ☑ - partially implemented

Github

• Implementation of RiccatiSolve