solve matrix differential equations with ode45

2019 10 2
2 个回答
更新时间：2022 12 8
5 次查看（30 天）

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I want to use ode to solve for a riccati differential equation. But it seems that it cannot be implemented directly in MATLAB.
is a known matrix. I want to get the S matrix at t by integrating backward in time.

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darova
darova 2019-10-2
Show us your ideas or some attempts?
Zicheng Cai
Zicheng Cai 2019-10-2
编辑：Zicheng Cai 2019-10-3
I unrolled the matrix and made it one vector to solve it. I also need to write a separate function to calculate and return the derivatives in a vector.
This is the function I defined to get derivates in a vector form.
function ds=deriv(t,S,A,B,Q_f,Q,R)
% adjust dimension and return S in a vector
Fs=reshape(S,size(Q_f)); % reshape S into matrix form
Rinv=inv(R);
dsv=-Q+Fs*B*Rinv*B'*Fs-Fs*A - A'*Fs; % derivation of S in matrix form
ds=dsv(:);% unroll the matrix to return a vector
end
This reference
https://www.mathworks.com/matlabcentral/answers/331107-how-can-i-solve-a-matrix-differential-equation-within-matlab
is of great help
darova
darova 2019-10-4
So what do you need help with? oder function looks ok as for me

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回答（2 个）

0 个投票

I understand that you want to solve for a riccati differential equation in MATLAB.
The "CARE" function within the Control System Toolbox solves the matrix Riccati equation.
The following MATLAB Answers link will help you in solving the matrix Riccati differential equation within MATLAB,
https://www.mathworks.com/matlabcentral/answers/94722-how-can-i-solve-the-matrix-riccati-differential-equation-within-matlab
Maximilian Behr
Maximilian Behr 2022-12-8

0 个投票

The repo https://zenodo.org/record/4460618#.Yt6LGsHP2de contains a solver (Modified Davison-Maki method) to solve the differential Riccati with MATLAB.

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