Solving steady state Kalman riccati equation

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Deepayan Bhadra
Deepayan Bhadra on 15 May 2014
Answered: John Petersen on 2 Jan 2015
In the equation, AP + PA' + Q - PC'*inv®*CP = 0, I know C=1,Q,R are constant 2x2 matrices and A = [0 -q(k);q(k) 0], how do I solve for P in terms of the other variables?

Answers (1)

John Petersen
John Petersen on 2 Jan 2015
Just write out the equations. If it's 2x2 it shouldn't be too hard. Q and R are almost always diagonal. P is symmetric, so these simplify things quite a bit. Since C is 1, that disappears too.

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