Riccati                 package:dse1                 R Documentation

_R_i_c_c_a_t_i _E_q_u_a_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     Solve a Matrix Riccati Equation

_U_s_a_g_e:

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

_A_r_g_u_m_e_n_t_s:

       A: A matrix.

       B: A matrix.

    fuzz: The tolerance used for testing convergence.

iterative: If TRUE an iterative solution technique is used.

_D_e_t_a_i_l_s:

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

_V_a_l_u_e:

     xxx

_N_o_t_e:

     This procedure has not been tested.

_R_e_f_e_r_e_n_c_e_s:

     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_.

_S_e_e _A_l_s_o:

     'eigen'

