The derivative of the Riccati matrix with respect to a matrix
John Brewer · IEEE Transactions on Automatic Control · 1977
The derivative of the solution of the Riccati matrix differential equation is described in this correspondence. Extensive use is made of the calculus of Vetter [8] and the formula for the derivative of the exponential matrix [5]. Additionally the differentiation of partitioned matrices and the differentiation with respect to a symmetric matrix are discussed. Application is made to the sensitivity analysis of optimal estimation systems.