Solution of Discrete-time Algebraic Riccati Equation
Solution of Discrete-time Algebraic Riccati Equation
(OP)
Hi
I am trying to solve for X in the DARE (Discrete-time Algebraic Riccati Equation):
A'XA - X - (A'PB+S)*(B'XB+R)^-1*(A'XB+S)' + Q = 0
I know the diagonal matrix (in MATLAB notation) A = [-a 0; 0 a], and B = [b; 0].
I have tried looking and reading and the closest I get is to utilise the Hamiltonian / Sympletic matrix. However, I have no clue in proceeding.
Any help is very much appreciated!
Cheers
uncertainwerner
I am trying to solve for X in the DARE (Discrete-time Algebraic Riccati Equation):
A'XA - X - (A'PB+S)*(B'XB+R)^-1*(A'XB+S)' + Q = 0
I know the diagonal matrix (in MATLAB notation) A = [-a 0; 0 a], and B = [b; 0].
I have tried looking and reading and the closest I get is to utilise the Hamiltonian / Sympletic matrix. However, I have no clue in proceeding.
Any help is very much appreciated!
Cheers
uncertainwerner





RE: Solution of Discrete-time Algebraic Riccati Equation
xnuke
"Live and act within the limit of your knowledge and keep expanding it to the limit of your life." Ayn Rand, Atlas Shrugged.
Please see FAQ731-376: Eng-Tips.com Forum Policies for tips on how to make the best use of Eng-Tips.
RE: Solution of Discrete-time Algebraic Riccati Equation
TTFN

FAQ731-376: Eng-Tips.com Forum Policies
Need help writing a question or understanding a reply? forum1529: Translation Assistance for Engineers
Of course I can. I can do anything. I can do absolutely anything. I'm an expert!
RE: Solution of Discrete-time Algebraic Riccati Equation
RE: Solution of Discrete-time Algebraic Riccati Equation
TTFN

FAQ731-376: Eng-Tips.com Forum Policies
Need help writing a question or understanding a reply? forum1529: Translation Assistance for Engineers
Of course I can. I can do anything. I can do absolutely anything. I'm an expert!
RE: Solution of Discrete-time Algebraic Riccati Equation
Engineering is a continual education...but will agree that this forum really unsuited to class-room assignments.