Here is a Riccati equation:(adsbygoogle = window.adsbygoogle || []).push({});

X*A + A'*X +X*(gamma*B1*B1' - B2*inv(R)*B2')*X + Q = 0, where A, gamma, B1, B2, R are given.

The function "care" can solve the problem like "A'*X + X*A - X*B*B'*X + Q = 0", the problem is: how can I change the term "(gamma*B1*B1' - B2*inv(R)*B2')" into "B*B'"?

I try to use the function "chol" to decompose the term "(gamma*B1*B1' - B2*inv(R)*B2')" in order to get B*B', but it does not work out with the message "chol : Matrix must be positive definite".

How can I solve that Riccati equation?

Thanks in advance!

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# How to solve this Riccati equation?

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