Decoupled decomposition of the Riccati equation

Arunabha Bagchi, R.C.W. Strijbos

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    Abstract

    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
    Volume27
    Issue number3
    DOIs
    Publication statusPublished - 1982

    Keywords

    • IR-55613

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