scipy.linalg.solve_discrete_are¶
- scipy.linalg.solve_discrete_are(a, b, q, r)[source]¶
Solves the disctrete algebraic Riccati equation, or DARE, defined as (X = A’XA-(A’XB)(R+B’XB)^-1(B’XA)+Q), directly using a Schur decomposition method.
Parameters : a : array_like
Non-singular 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 to the continuous Lyapunov equation
See also
- solve_continuous_are
- Solves the continuous 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
