Riccati {dse1} | R Documentation |
Solve a Matrix Riccati Equation
Riccati(A, B, fuzz=1e-10, iterative=FALSE)
A |
A matrix. |
B |
A matrix. |
fuzz |
The tolerance used for testing convergence. |
iterative |
If TRUE an iterative solution technique is used. |
Solve Riccati equation P = APA' + B by eigenvalue decompostion of a symplectic matrix or by iteration.
xxx
This procedure has not been tested.
R. J. Vaccaro and T.Vukina(1993), "A Solution to the Positivity Problem in the State-Space Approach to Modeling Vector-Valued Time Series." Journal of Economic Dynamics and Control, 17, Anderson & Moore, (1979) sec 6.7, D. Vaughan (1970) IEEE Tr AC. A. Laub (1983), Proc IEEE conf Decision and Control. Gudmundsson, Kenney and Laub (1992) IEEE Tr AC.