Algebraic Riccati Equation in cvx


(Mayank Baranwal) #1

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 + PA + Q - PBR^{-1}*B’*P

Thanks,
Mayank


(Mark L. Stone) #2