A Schur method for the solution of the matrix Riccati equation (Q1363349)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Schur method for the solution of the matrix Riccati equation |
scientific article |
Statements
A Schur method for the solution of the matrix Riccati equation (English)
0 references
31 October 2002
0 references
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 multiples of two matrices. These matrices are found using a Schur-type decomposition for Hamiltonian matrices. Simple examples illustrating the method are presented.
0 references
