https://github.com/cran/dse
Tip revision: 83dd780387085f7dae6366d8ad7562f0420a9d95 authored by Paul Gilbert on 17 November 2011, 00:00:00 UTC
version 2011.11-2
version 2011.11-2
Tip revision: 83dd780
Riccati.Rd
\name{Riccati}
\alias{Riccati}
\title{Riccati Equation}
\description{Solve a Matrix Riccati Equation}
\usage{
Riccati(A, B, fuzz=1e-10, iterative=FALSE)
}
\arguments{
\item{A}{A matrix.}
\item{B}{A matrix.}
\item{fuzz}{The tolerance used for testing convergence.}
\item{iterative}{If TRUE an iterative solution technique is used.}
}
\value{xxx}
\details{
Solve Riccati equation P = APA' + B
by eigenvalue decompostion of a symplectic matrix or by iteration.
}
\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.
\emph{Journal of Economic Dynamics and Control}, \bold{17}, 401--421.
Anderson, B. D. O. and Moore, J. B. (1979) \emph{Optimal Filtering}.
Prentice-Hall. (note sec 6.7.)
Vaughan, D. (1970) A Nonrecursive Algebraic Solution for the Discrete
Riccati Equation. \emph{IEEE Tr AC}, 597--599.
Laub, A. J. (1983) Numerical Aspects of Solving Algebraic Riccati Equations
\emph{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 \emph{IEEE Tr AC}, \bold{37}, 513--518.
}
\seealso{
\code{\link{eigen}}
}
\note{This procedure has not been tested.}
\concept{DSE}
\keyword{ts}
\keyword{algebra}