Riccati: Riccati Equation

In dse: Dynamic Systems Estimation (Time Series Package)

Description

Solve a Matrix Riccati Equation

Usage

    Riccati(A, B, fuzz=1e-10, iterative=FALSE)

Arguments

A	A matrix.
B	A matrix.
fuzz	The tolerance used for testing convergence.
iterative	If TRUE an iterative solution technique is used.

Details

Solve Riccati equation P = APA' + B by eigenvalue decompostion of a symplectic matrix or by iteration.

Value

xxx

Note

This procedure has not been tested.

References

Vaccaro, R. J. and Vukina, T. (1993), A Solution to the Positivity Problem in the State-Space Approach to Modeling Vector-Valued Time Series. Journal of Economic Dynamics and Control, 17, 401–421.

Anderson, B. D. O. and Moore, J. B. (1979) Optimal Filtering. Prentice-Hall. (note sec 6.7.)

Vaughan, D. (1970) A Nonrecursive Algebraic Solution for the Discrete Riccati Equation. IEEE Tr AC, 597–599.

Laub, A. J. (1983) Numerical Aspects of Solving Algebraic Riccati Equations Proc IEEE conf Decision and Control, 183–186.

Gudmundsson T., Kenney, C., and Laub, A. J. (1992) Scaling of the Discrete-Time Algebraic Riccati Equation to Enhance Stability of the Schur Solution Method IEEE Tr AC, 37, 513–518.

See Also

eigen

dse documentation built on March 26, 2020, 7:12 p.m.