How does one solve continuous-time Algebraic Riccati Equation (ARE) in cvx? In MATLAB, there is a direct function “care” for solving continuous-time AREs, however, I’m having difficult time in implementing it in cvx since it requires solving matrix equation with strict equality, i.e.,

find P>=0

s.t. 0 = A’*P + P*A + Q - P*B*R^{-1}*B’*P

Thanks,

Mayank