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How to solve this Riccati Equation?

  1. Jun 16, 2009 #1
    Here is a Riccati equation:
    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!
     
  2. jcsd
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