Solving steady state Kalman riccati equation

3 次查看（过去 30 天）
Deepayan Bhadra
Deepayan Bhadra 2014-5-15
回答： John Petersen 2015-1-2
In the equation, AP + PA' + Q - PC'*inv®*CP = 0, I know C=1,Q,R are constant 2x2 matrices and A = [0 -q(k);q(k) 0], how do I solve for P in terms of the other variables?

请先登录，再回答此问题。

回答（1 个）

John Petersen
John Petersen 2015-1-2
Just write out the equations. If it's 2x2 it shouldn't be too hard. Q and R are almost always diagonal. P is symmetric, so these simplify things quite a bit. Since C is 1, that disappears too.

类别

在 Help Center 和 File Exchange 中查找有关 Matrix Computations 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by