Solve Riccati (DARE) with MATLAB

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  • Thread starter perplexabot
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In summary, the dare() function in MATLAB returns the inverse of the cumulative probability of success given a particular probability distribution.
  • #1
perplexabot
Gold Member
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Hey all, I was wondering if you can help me define the arguments for the dare() function of matlab. Here is the DARE form I have:
[tex]
\begin{equation}
\begin{split}
\Phi(p_\infty) &= \Phi_\infty = \Phi_{33}-\Phi_{32}(\Phi_\infty+\Phi_{R})^{-1}\Phi_{23}\\
&=\Phi_{33}+\Phi_{32}\Phi_{R}^{-1}\Phi_\infty\Phi_{R}^{-1}\Phi_{23}-\Phi_{32}\Phi_{R}^{-1}\Phi_\infty(\Phi_\infty+\Phi_{R})^{-1}\Phi_\infty\Phi_{R}^{-1}\Phi_{23}-\Phi_{32}\Phi_{R}^{-1}\Phi_{23}
\end{split}
\end{equation}
[/tex]

Here is how MATLAB's dare() function works.

Here is how I defined my variables: [itex]E = I[/itex], [itex]B = I[/itex], [itex]R = \Phi_R[/itex], [itex]Q = \Phi_{33}[/itex], [itex]S=\Phi_{32}[/itex], , [itex]A = 2\Phi_R^{-1}S^T[/itex].

Is this correct?
Thank you : )

PS: Please let me know if this thread belongs elsewhere, as I would like to maximize feedback from the PF community.
 
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  • #4
perplexabot said:
That's the same link I provided in my original post : (

Sorry I didn't see as it was hidden in the "Here" text.
 
  • #5
jedishrfu said:
Sorry I didn't see as it was hidden in the "Here" text.
No problem! I still appreciate the fact that you are trying to help. Thank you.
 
  • #6
Have you tried to run your code? If so, what was wrong with the answer?

You could try taking the answer and testing to see if it is the solution to gain confidence in what Matlab returned.
 
  • #7
jedishrfu said:
Have you tried to run your code? If so, what was wrong with the answer?

You could try taking the answer and testing to see if it is the solution to gain confidence in what Matlab returned.
I have run my code. I got an answer but I am confused with the result as it is not as I expected. I am trying to figure out why the answer is what it is. I was wondering whether my DARE formulation was correct (hence, why I have this post).
 

Related to Solve Riccati (DARE) with MATLAB

1. How do I solve a Riccati equation using MATLAB?

To solve a Riccati equation using MATLAB, you can use the "dare" function. This function takes in the system matrices, cost matrices, and initial conditions as inputs and returns the solution to the Riccati equation.

2. Can I solve a differential Riccati equation with MATLAB?

Yes, MATLAB has a built-in function called "dare" that can solve both algebraic and differential Riccati equations. You just need to provide the appropriate system matrices and cost matrices as inputs.

3. How does MATLAB solve a Riccati equation?

MATLAB uses an iterative algorithm to solve Riccati equations. It starts with an initial guess and updates it using the Riccati equation until the solution converges.

4. Can I use MATLAB to solve a Riccati equation for a continuous-time system?

Yes, you can use the "dare" function in MATLAB to solve Riccati equations for both discrete-time and continuous-time systems. However, the system matrices and cost matrices may be different for continuous-time systems.

5. How accurate is the solution obtained from solving a Riccati equation with MATLAB?

The accuracy of the solution obtained from MATLAB depends on the accuracy of the initial guess and the convergence of the iterative algorithm. It is recommended to provide a good initial guess for better accuracy.

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