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Solution of the Riccati Differential Equation (odericcati)

version 2.0.0 (231 KB) by Tamas Kis
Solves the Riccati differential equation for the finite-horizon linear quadratic regulator.

37 Downloads

Updated 07 Jun 2022

From GitHub

View license on GitHub

odericcati View Solution of the Riccati Differential Equation (odericcati) on File Exchange

Solves the Riccati differential equation for the finite-horizon linear quadratic regulator.

NOTE: This function requires the IVP Solver Toolbox.

Syntax

[t,P] = odericcati(A,B,Q,R,[],PT,tspan)
[t,P] = odericcati(A,B,Q,R,S,PT,tspan)

Description

[t,P] = odericcati(A,B,Q,R,[],PT,tspan) solves the Riccati differential equation for , given the state matrix , input matrix , state weighting matrix , input weighting matrix , terminal condition , and the time span tspan over which to solve. tspan can be specified either as the 1×2 double [t0,T] where is the initial time and is the final time, or as a 1×(N+1) vector of times [t0,t1,...,tNminus1,T] at which to return the solution for . It is assumed that the cross-coupling weighting matrix is .

[t,P] = odericcati(A,B,Q,R,S,PT,tspan) does the same as the syntax above, but this time the cross-coupling weighting matrix is specified.

Time Vector and Solution Array

The time vector, , is defined as

The ith "layer" of P (i.e. P(:,:,i)) stores , where is the time stored in the ith element of the time vector, .

Examples and Additional Documentation

  • See "EXAMPLES.mlx" or the "Examples" tab on the File Exchange page for examples.
  • See Riccati_Differential_Equation.pdf (also included with download) for additional documentation.

Cite As

Tamas Kis (2022). Solution of the Riccati Differential Equation (odericcati) (https://github.com/tamaskis/odericcati-MATLAB/releases/tag/v2.0.0), GitHub. Retrieved .

MATLAB Release Compatibility
Created with R2021b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.