A canonical form and solution for the matrix Riccati differential equation
- 1 January 1985
- journal article
- research article
- Published by Cambridge University Press (CUP) in The Journal of the Australian Mathematical Society. Series B. Applied Mathematics
- Vol. 26 (3) , 355-361
- https://doi.org/10.1017/s0334270000004550
Abstract
A canonical form of the self-adjoint Matrix Riccati Differential Equation with constant coefficients is obtained in terms of extremal solutions of the self-adjoint Matrix Riccati Algebraic (steady-state) Equations. This form is exploited in order to obtain a convenient explicit solution of the transient problem. Estimates of the convergence rate to the steady state are derived.Keywords
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