A Schur method for the solution of the matrix Riccati equation

Mohsen Razzaghi

International Journal of Mathematics and Mathematical Sciences, 1997, vol. 20, 1-4

Abstract:

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.

Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:537490

DOI: 10.1155/S0161171297000446

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