Series solution of matrix Riccati equation
K.B. Datta · International Journal of Control · 1978
This paper is concerned with the solution of a matrix Riccati equation encountered in quadratic minimization problems of optimal and filtering control theory. The classical perturbation method is employed to obtain the solution in the form of a series which is shown to be convergent in transient as well as in the steady-state behaviour of the Riccati equation. An estimate of error which results, due to truncation of the series after a finite number of terms, is also given.