scipy.linalg.solve_continuous_are¶
- scipy.linalg.solve_continuous_are(a, b, q, r)[source]¶
Solves the continuous algebraic Riccati equation (CARE).
The CARE is defined as
\[(A'X + XA - XBR^-1B'X+Q=0)\]It is solved directly using a Schur decomposition method.
Parameters: a : (M, M) array_like
Input
b : (M, N) array_like
Input
q : (M, M) array_like
Input
r : (N, N) array_like
Non-singular, square matrix
Returns: x : (M, M) ndarray
Solution 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
New in version 0.11.0.