Scilab Function
Last update : 28/12/2008
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,