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riccati Scilab Group Scilab Function riccati
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riccati - Riccati equation
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X=riccati(A,B,C,dom,[typ])
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[X1,X2]=riccati(A,B,C,dom,[typ])
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A,B,C : real matrices nxn, B and C symetric.
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dom : 'c' or 'd' for the time domain (continuous or discrete)
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typ : string : 'eigen' for block diagonalization or schur' for
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X1,X2,X : square real matrices (X2 invertible), X symmetric
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X=riccati(A,B,C,dom,[typ]) solves the Riccati equation:
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in continuous time case, or:
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A'*X*A-(A'*X*B1/(B2+B1'*X*B1))*(B1'*X*A)+C-X
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with B=B1/B2*B1' in the discrete time case. If called with two output
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arguments, riccati returns X1,X2 such that X=X1/X2.