Solution of the Riccati Differential Equation (odericcati)
Updated 23 Dec 2021
Solves the Riccati differential equation for the finite-horizon linear quadratic regulator.
NOTE: This function requires the ODE Solver Toolbox.
[t,P] = odericcati(A,B,Q,R,,PT,tspan)
[t,P] = odericcati(A,B,Q,R,S,PT,tspan)
[t,P] = odericcati(A,B,Q,R,,PT,tspan) solves the Riccati differential equation for , given the state matrix , input matrix , state weighting matrix , input weighting matrix , terminal condition , and the time span
tspan over which to solve.
tspan can be specified either as the 1×2 double
[t0,T] where is the initial time and is the final time, or as a 1×(N+1) vector of times
[t0,t1,...,tNminus1,T] at which to return the solution for . It is assumed that the cross-coupling weighting matrix is .
- See "EXAMPLES.mlx" or the "Examples" tab on the File Exchange page for examples.
- See Riccati_Differential_Equation.pdf (also included with download) for additional documentation.
Tamas Kis (2022). Solution of the Riccati Differential Equation (odericcati) (https://github.com/tamaskis/odericcati-MATLAB/releases/tag/v1.0.2), GitHub. Retrieved .
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