Title :
The derivative of the Riccati matrix with respect to a matrix
Author_Institution :
University of California, Davis, CA, USA
fDate :
12/1/1977 12:00:00 AM
Abstract :
The derivative of the solution of the Riccati matrix differential equation is described in this correspondence. Extensive use is made of the calculus of Vetter [8] and the formula for the derivative of the exponential matrix [5]. Additionally the differentiation of partitioned matrices and the differentiation with respect to a symmetric matrix are discussed. Application is made to the sensitivity analysis of optimal estimation systems.
Keywords :
Differential Riccati equations; Differentiation; Estimation; Matrices; Riccati equations, differential; Sensitivity analysis; Algebra; Calculus; Differential equations; Eigenvalues and eigenfunctions; Laplace equations; Optimal control; Programmable control; Riccati equations; Sensitivity analysis; Symmetric matrices;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1977.1101656
