RICC(G)

NAME
ricc - Riccati equation

CALLING SEQUENCE
[X]=ricc(A,B,C,"cont")
[X]=ricc(F,G,H,"disc")

PARAMETERS

A,B,C
    : real matrices of appropriate dimensions

F,G,H
    : real matrices of appropriate dimensions

X   : real matrix

"cont","disc"'
    : imposed string (flag for continuous or discrete)

DESCRIPTION
Riccati solver.

Continuous time
  X=ricc(A,B,C,'cont')
gives a solution to the continuous time ARE
  A'*X+X*A-X*B*X+C=0 .
B and C are assumed to be nonnegative definite. (A,G) is assumed to be stabilizable with G*G' a full rank factorization of B.

(A,H) is assumed to be detectable with H*H' a full rank factorization of C.

Discrete time
  X=ricc(F,G,H,'disc')
gives a solution to the discrete time ARE
  X=F'*X*F-F'*X*G1*((G2+G1'*X*G1)^-1)*G1'*X*F+H
F is assumed invertible and G = G1*inv(G2)*G1'.

One assumes (F,G1) stabilizable and (C,F) detectable with C'*C full rank factorization of H.

SEE ALSO
riccati, ric_desc, schur, gschur