Decoupled decomposition of the Riccati equation


Bagchi, A. and Strijbos, R.C.W. (1982) Decoupled decomposition of the Riccati equation. IEEE Transactions on Automatic Control, 27 (3). pp. 696-698. ISSN 0018-9286

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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.
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Copyright:© 1982 IEEE
Electrical Engineering, Mathematics and Computer Science (EEMCS)
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