Algebraic Riccati Equation Solver

Version 1.0.0.0 (1.16 KB) by Emmett
Solves a common algebraic Riccati equation using Schur decomposition.
1.7K Downloads
Updated 18 Apr 2012

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This function solves an algebraic Riccati equation of the form:

A'*X + X*A' - X*G*X + Q = 0,

where A, G, and Q are given and X is the symmetric solution. All terms are real nxn matrices and G and Q are positive semi-definite.

A common use of this equation is to solve for the optimal feedback gain of a linear system, in which case

G = B*R^-1*B' and K = R^-1*B'*X.

See http://en.wikipedia.org/wiki/Linear-quadratic_regulator for more detail. Based on the solution method of http://dspace.mit.edu/handle/1721.1/1301.

Cite As

Emmett (2024). Algebraic Riccati Equation Solver (https://www.mathworks.com/matlabcentral/fileexchange/36263-algebraic-riccati-equation-solver), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0.0