In this paper we present explicit closed form formulae for the solution of the matrix Riccati differential equation with a terminal condition. These formulae can still be employed even in the case in which the system is not sign-controllable. In such situation, the associated algebraic Riccati equation does not admit a solution in general. Therefore, the formulae presented in this paper do not directly depend on the solution of the associated algebraic Riccati equation.
On the closed-form solution of the matrix Riccati differential equation for nonsign-controllable pairs
FERRANTE, AUGUSTO
2011
Abstract
In this paper we present explicit closed form formulae for the solution of the matrix Riccati differential equation with a terminal condition. These formulae can still be employed even in the case in which the system is not sign-controllable. In such situation, the associated algebraic Riccati equation does not admit a solution in general. Therefore, the formulae presented in this paper do not directly depend on the solution of the associated algebraic Riccati equation.
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