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slicot_sg02ad


Solution of continuous- or discrete-time algebraic Riccati equations for descriptor systems.


Syntax


[RCONDU, X, ALFAR, ALFAI, BETA, S, T, U, IWARN, INFO] = slicot_sg02ad(DICO, JOBB, FACT, UPLO, JOBL, SCAL, SORT, ACC, P, A, E, B, Q, R, L, TOL)

Input argument


DICO

Specifies the type of Riccati equation to be solved as follows: = 'C': Equation (1), continuous-time case; = 'D': Equation (2), discrete-time case.

JOBB

Specifies whether or not the matrix G is given, instead of the matrices B and R, as follows: = 'B': B and R are given; = 'G': G is given.

FACT

Specifies whether or not the matrices Q and/or R (if JOBB = 'B') are factored, as follows: = 'N': Not factored, Q and R are given; = 'C': C is given, and Q = C'C; = 'D': D is given, and R = D'D; = 'B': Both factors C and D are given, Q = C'C, R = D'D.

UPLO

If JOBB = 'G', or FACT = 'N', specifies which triangle of the matrices G, or Q and R, is stored, as follows: = 'U': Upper triangle is stored; = 'L': Lower triangle is stored.

JOBL

Specifies whether or not the matrix L is zero, as follows: = 'Z': L is zero; = 'N': L is nonzero. JOBL is not used if JOBB = 'G' and JOBL = 'Z' is assumed. SLICOT Library routine SB02MT should be called just before SG02AD, for obtaining the results when JOBB = 'G' and JOBL = 'N'.

SCAL

If JOBB = 'B', specifies whether or not a scaling strategy should be used to scale Q, R, and L, as follows: = 'G': General scaling should be used; = 'N': No scaling should be used. SCAL is not used if JOBB = 'G'.

SORT

Specifies which eigenvalues should be obtained in the top of the generalized Schur form, as follows: = 'S': Stable eigenvalues come first; = 'U': Unstable eigenvalues come first.

ACC

Specifies whether or not iterative refinement should be used to solve the system of algebraic equations giving the solution matrix X, as follows: = 'R': Use iterative refinement; = 'N': Do not use iterative refinement.

P

The number of system outputs. If FACT = 'C' or 'D' or 'B', P is the number of rows of the matrices C and/or D.

A

The leading N-by-N part of this array must contain the state matrix A of the descriptor system.

E

The leading N-by-N part of this array must contain the matrix E of the descriptor system.

B

If JOBB = 'B', the leading N-by-M part of this array must contain the input matrix B of the system.

Q

If FACT = 'N' or 'D', the leading N-by-N upper triangular part (if UPLO = 'U') or lower triangular part (if UPLO = 'L') of this array must contain the upper triangular part or lower triangular part, respectively, of the symmetric state weighting matrix Q. The stricly lower triangular part (if UPLO = 'U') or stricly upper triangular part (if UPLO = 'L') is not referenced. If FACT = 'C' or 'B', the leading P-by-N part of this array must contain the output matrix C of the system. If JOBB = 'B' and SCAL = 'G', then Q is modified internally, but is restored on exit.

R

If FACT = 'N' or 'C', the leading M-by-M upper triangular part (if UPLO = 'U') or lower triangular part (if UPLO = 'L') of this array must contain the upper triangular part or lower triangular part, respectively, of the symmetric input weighting matrix R. The stricly lower triangular part (if UPLO = 'U') or stricly upper triangular part (if UPLO = 'L') is not referenced. If FACT = 'D' or 'B', the leading P-by-M part of this array must contain the direct transmission matrix D of the system. If JOBB = 'B' and SCAL = 'G', then R is modified internally, but is restored on exit.

L

If JOBL = 'N' and JOBB = 'B', the leading N-by-M part of this array must contain the cross weighting matrix L. If JOBB = 'B' and SCAL = 'G', then L is modified internally, but is restored on exit.

TOL

The tolerance to be used to test for near singularity of the original matrix pencil, specifically of the triangular M-by-M factor obtained during the reduction process.

Output argument


RCONDU

If N > 0 and INFO = 0 or INFO = 7, an estimate of the reciprocal of the condition number (in the 1-norm) of the N-th order system of algebraic equations from which the solution matrix X is obtained.

X

If INFO = 0, the leading N-by-N part of this array contains the solution matrix X of the problem.

ALFAR

The generalized eigenvalues of the 2N-by-2N matrix pair, ordered as specified by SORT (if INFO = 0, or INFO >= 5).

ALFAI

The generalized eigenvalues of the 2N-by-2N matrix pair, ordered as specified by SORT (if INFO = 0, or INFO >= 5).

BETA

The generalized eigenvalues of the 2N-by-2N matrix pair, ordered as specified by SORT (if INFO = 0, or INFO >= 5).

S

The leading 2N-by-2N part of this array contains the ordered real Schur form S of the first matrix in the reduced matrix pencil associated to the optimal problem, corresponding to the scaled Q, R, and L, if JOBB = 'B' and SCAL = 'G'.

T

The leading 2N-by-2N part of this array contains the ordered upper triangular form T of the second matrix in the reduced matrix pencil associated to the optimal problem, corresponding to the scaled Q, R, and L, if JOBB = 'B' and SCAL = 'G'.

U

The leading 2N-by-2N part of this array contains the right transformation matrix U which reduces the 2N-by-2N matrix pencil to the ordered generalized real Schur form (S,T).

IWARN

= 0: no warning; = 1: the computed solution may be inaccurate due to poor scaling or eigenvalues too close to the boundary of the stability domain (the imaginary axis, if DICO = 'C', or the unit circle, if DICO = 'D').

INFO

= 0: successful exit; = 1: if the computed extended matrix pencil is singular, possibly due to rounding errors; = 2: if the QZ algorithm failed; = 3: if reordering of the generalized eigenvalues failed; = 4: if after reordering, roundoff changed values of some complex eigenvalues so that leading eigenvalues in the generalized Schur form no longer satisfy the stability condition; this could also be caused due to scaling; = 5: if the computed dimension of the solution does not equal N; = 6: if the spectrum is too close to the boundary of the stability domain; = 7: if a singular matrix was encountered during the computation of the solution matrix X.

Description


To solve for X either the continuous-time algebraic Riccatiequation or the discrete-time algebraic Riccati equation

Used function(s)


SG02AD

Bibliography


http://slicot.org/objects/software/shared/doc/SG02AD.html

Example


N = 2;
M = 1;
P = 3;
TOL = 0.0;
DICO = 'C';
JOBB = 'B';
FACT = 'B';
UPLO = 'U';
JOBL = 'Z';
SCAL = 'N';
SORT = 'S';
ACC = 'N';
A = [0.0  1.0;
   0.0  0.0];
E = [1.0  0.0;
   0.0  1.0];
B = [0.0;
   1.0];
Q = [1.0  0.0;
   0.0  1.0;
   0.0  0.0];
R = [0.0;
   0.0;
   1.0];
L = zeros(N, N);
[RCONDU, X, ALFAR, ALFAI, BETA, S, T, U, IWARN, INFO] = slicot_sg02ad(DICO, JOBB, FACT, UPLO, JOBL, SCAL, SORT, ACC, P, A, E, B, Q, R, L, TOL)

History


Version Description
1.0.0 initial version

Author


SLICOT Documentation

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