Riccati {dse1} | R Documentation

## Riccati Equation

### 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

R. J. Vaccaro and T.Vukina(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, Anderson & Moore, (1979) sec 6.7, D. Vaughan (1970) IEEE Tr AC. A. Laub (1983), Proc IEEE conf Decision and Control. Gudmundsson, Kenney and Laub (1992) IEEE Tr AC.

### See Also

`eigen`

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