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Topic: Solving Matrix Riccati
Replies: 3   Last Post: Apr 6, 2013 12:51 PM

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Solving Matrix Riccati
Posted: Apr 5, 2013 7:20 PM
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I'm new to MATLAB and trying to use ODE45 to find the coefficients of the matrix Riccati equation for a controls problem.

I'm not sure what I'm doing wrong.

I've defined my Riccati equation in a function 'regulator'

%Define matrices
function dS=regulator(t,S)

A=[0 1;0 -2.972];
B=[0;390];
Q=[(1/(pi^2)) 0;0 30];
R=1;

dS=-1*(A'*S+S*A-S*B*(R^-1)*B'*S+Q);

end

Then I'm just going straight to ODE45, doing something like this:

[t,S]=ode45('regulator',[0 5],[0 0;0 0])

looking for a solution to matrix S.

Can I solve like this or do I have to multiply out all the terms of S? Assuming S is

S = [s11(t) s12(t) ; s12(t) s22(t)];

Any help would be appreciated.



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