Solving large algebraic riccati-like problem

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Davide Marzatico
Davide Marzatico 2018-6-6
编辑： viyils Sangregorio 2020-6-10
Hi everyone, for my master thesys i need to solve a modified algebraic riccati equation. Now i am using fsolve, in some cases it converge in few seconds, but sometimes i can't solve it and i have also no idea how to choose the initial guess. The system dimension is 66. Is there a better way to deal with these kind of problems? riccati equation is not so different from mine, and kalman function runs instantly. Thanks in advance for the help.
Here is the code i'm using now:
fsolve(@(L)A0*L+L*A0'+lambda.*L+Q+1/lambda.*A1*Pi*A1'-L*C'*Rinv*C*L,L0)

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回答（1 个）

M
M 2018-6-7
Why don't you use the matlab function for Riccati equation?
See https://fr.mathworks.com/help/control/ref/care.html
  2 个评论
Davide Marzatico
Davide Marzatico 2018-6-8
Thanks for the answer, but, unfortunately, my equation is not a classical riccati equation. It is a bit different but i think that the computation effort for solving it is quite the same. So I'm asking if there is some suitable solving algorithm rather then the classic fsolve for my type of equation.
viyils Sangregorio
viyils Sangregorio 2020-6-10
编辑：viyils Sangregorio 2020-6-10
I have the same question were you able to solve you problem ?

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