Solving Riccati differential equation with time variable matrix

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Stephan
Stephan 2014-10-16
编辑： Stephan 2014-10-16
Given: differential equation -P(t)AP(t) + Q(t) = dP(t)
A is known and constant Q is known for all time steps
Now I want to solve this equation to get P. How can i achieve this by using solver like ode45? I do not know how to include the time variable matrix Q in the solving algorithm.
Thanks in advance

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回答（1 个）

Orion
Orion 2014-10-16
Hi,
look example3 in ode45
your Q is the same as g in this example
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Orion
Orion 2014-10-16
it shoudn't change anything, even if you don't have a formula.
you have a vector Q (n sample), and you just use this vector.
Stephan
Stephan 2014-10-16
编辑：Stephan 2014-10-16
ok thank you.
If there are further problems, I will write them down here :)

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