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riccsl — Riccati equation solver
[X,RCOND,FERR]=riccsl(A,C,D,'type','method')
| A,C,D | : real square matrices. |
| type | : 'continuous' or 'discrete' |
| method | : 'schr' or 'sign' for continuous-time systems and 'schr' or 'invf' for discrete-tyme systems |
| X | : real matrix |
| RCOND | : real number |
| FERR | : real number |
Riccati solver.
Continuous time:
X=riccsl(A,C,D,'cont','method')
gives a solution to the continuous time ARE
A'*X + X*A + C - X*D*X = 0
Discrete time:
X=riccsl(A,C,D,'disc','method')
gives a solution to the discrete time ARE
A'*X*inv(I + D*X)*A - X + C = 0
C, D are symmetric .It is assumed that the matrices A, C and D are such that the corresponding matrix pencil has N eigenvalues with moduli less than one.
Error bound on the solution and a condition estimate are also provided. It is assumed that the matrices A, C and D are such that the corresponding Hamiltonian matrix has N eigenvalues with negative real parts.
See SCIDIR/routines/control/riccpack. Code written by P. Petkov.
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