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A canonical form and solution for the matrix Riccati differential equation

Published online by Cambridge University Press:  17 February 2009

R. B. Leipnik
R. B. Leipnik
Affiliation:
The Australian National University, Statistics Department, I. A. S., P. O. Box 4, Canberra, ACT 2600. Permanent address: Department of Applied Mathematics, University of California, Santa Barbara, California 93106, U.S.A.
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Abstract

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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.

Type
Research Article
Information
The ANZIAM Journal , Volume 26 , Issue 3 , January 1985 , pp. 355 - 361
Copyright
Copyright © Australian Mathematical Society 1985

References

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