A review of the matrix Riccati equation
V. Kučera · Czech digital mathematics library · 1973
A Review of the Matrix Riccati Equation VLADIMÍR KUČERA This paper reviews some basic results regarding the matrix Riccati equation of the optimal control and filtering theory.The theoretical exposition is divided into three parts dealing respecti vely with the steady-state algebraic equation, the differential equation, and the asymptotic pro perties of the solution.At the end a survey of existing computational techniques is given.