6533b828fe1ef96bd1287c13

RESEARCH PRODUCT

Solving coupled Riccati matrix differential systems

Lucas Jódar

subject

Applied MathematicsMathematical analysisMathematics::Optimization and ControlLinear-quadratic regulatorAlgebraic Riccati equationMatrix (mathematics)Nonlinear Sciences::Exactly Solvable and Integrable SystemsComputer Science::Systems and ControlOrdinary differential equationRiccati equationMathematics::Mathematical PhysicsUniversal differential equationDifferential (mathematics)MathematicsAlgebraic differential equation

description

Abstract We start by noting that coupled Riccati matrix differential systems appearing in differential games may be considered as a single rectangular Riccati equation. An explicit solution of the coupled differential system in terms of a solution of the associated algebraic Riccati equation is given.

https://doi.org/10.1016/0893-9659(91)90114-b