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scipy.linalg.solve_continuous_are

scipy.linalg.solve_continuous_are(a, b, q, r)

Solves the continuous algebraic Riccati equation, or CARE, defined as (A’X + XA - XBR^-1B’X+Q=0) directly using a Schur decomposition method.

Parameters :

a : array_like

m x m square matrix

b : array_like

m x n matrix

q : array_like

m x m square matrix

r : array_like

Non-singular n x n square matrix

Returns :

x : array_like

Solution (m x m) to the continuous algebraic Riccati equation

See also

solve_discrete_are

Solves the discrete algebraic Riccati equation

Notes

Method taken from: Laub, “A Schur Method for Solving Algebraic Riccati Equations.” U.S. Energy Research and Development Agency under contract ERDA-E(49-18)-2087. http://dspace.mit.edu/bitstream/handle/1721.1/1301/R-0859-05666488.pdf