riccati

riccati — Riccati equation

Calling sequence

X=riccati(A,B,C,dom,[typ])  
[X1,X2]=riccati(A,B,C,dom,[typ])

`A,B,C`	: real matrices nxn, `B` and `C` symetric.
`dom`	: `'c'` or `'d'` for the time domain (continuous or discrete)
`typ`	: string : `'eigen'` for block diagonalization or `schur'` for Schur method.
`X1,X2,X`	: square real matrices (X2 invertible), X symmetric

X=riccati(A,B,C,dom,[typ]) solves the Riccati equation:



A'*X+X*A-X*B*X+C=0

in continuous time case, or:



 A'*X*A-(A'*X*B1/(B2+B1'*X*B1))*(B1'*X*A)+C-X

with B=B1/B2*B1' in the discrete time case. If called with two output arguments, riccati returns X1,X2 such that X=X1/X2.