Decoupled decomposition of the Riccati equation

Arunabha Bagchi, R.C.W. Strijbos

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    The general matrix Riccati equation is decomposed into product of two factors where the first one is determined independent of the second factor. Condition for existence of solution of the Riccati equation is given via this decomposition and the existence of solution of the self-adjoint matrix Riccati equation arising in optimal control and Kalman filtering is directly established from that condition.
    Original languageUndefined
    Pages (from-to)696-698
    JournalIEEE transactions on automatic control
    Issue number3
    Publication statusPublished - 1982


    • IR-55613

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