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A Schur method for the solution of the matrix Riccati equation. (English) Zbl 1047.34502
Summary: This paper is concerned with an analytic solution of the finite-time matrix Riccati equation. The solution to the Riccati equation is given in terms of multiples of two matrices. These matrices are found using a Schur-type decomposition for Hamiltonian matrices. Simple examples illustrating the method are presented.

MSC:
34A34 Nonlinear ordinary differential equations and systems
34A05 Explicit solutions, first integrals of ordinary differential equations
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