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Solve Riccati equation
Solve Riccati equation calculator
Solution to the continous Riccati equation (CARE) using Schur decomposition. The equation is:
A'X + XA - XBR
^{-1}
B'X+Q=0
.
R
must be non-singular.
square matrix
A
:
+ row and column
matrix
B
:
+ column
+ row
square matrix
Q
:
+ row and column
square matrix
R
:
+ row and column
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