A Schur method for the solution of the matrix Riccati equation
This paper is concerned with an analytic solution of the finite-time matrix Riccati equation. The solution to the Riccati equation is given in terms of multiple of two matrices. These matrices are found using a Schur-type decomposition for Hamiltonian matrices. Simple examples illustrating the metho...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
1997-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1155/S0161171297000446 |
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| Summary: | This paper is concerned with an analytic solution of the finite-time matrix Riccati equation.
The solution to the Riccati equation is given in terms of multiple of two matrices. These matrices
are found using a Schur-type decomposition for Hamiltonian matrices. Simple examples illustrating the
method are presented. |
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| ISSN: | 0161-1712 1687-0425 |