A Schur method for the solution of the matrix Riccati equation
Mohsen Razzaghi · International Journal of Mathematics and Mathematical Sciences · 1997
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 multiple of two matrices. These matrices are found using a Schur‐type decomposition for Hamiltonian matrices. Simple examples illustrating the method are presented.