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Discrete-time Periodic Riccati Equation (DPRE)

version 2.0.0.1 (146 KB) by Ivo Houtzager
Discrete-time periodic Riccati equation solver for periodic LQ state-feedback design

910 Downloads

Updated 20 Apr 2021

From GitHub

View license on GitHub

These functions solve the Discrete-time Periodic Riccati Equation (DPRE) for periodic LQ state-feedback design. The functions compute the unique stabilizing solution X{k} of the discrete-time periodic Riccati equation and also returns the gain matrix K{k} in the state-feedback u{k} = -K{k}x{k}, where k = 1:P.

The m-file "dpre" solves the discrete-time periodic optimal control problem by a cyclic QZ or a Newton backward iteration method. These are not the fastest methods available, but work quite well.

The mex-file "dprex" solves the discrete-time periodic optimal control problem by a periodic QR (using functions from matlab's internal slicot library) or a complex periodic QC method (using converted fortran to c code from the pqzschur library). The mex-file implementation is much faster, but requires compilation of the mex file which can be done by running make_dprex.m.

Cite As

Ivo Houtzager (2021). Discrete-time Periodic Riccati Equation (DPRE) (https://github.com/iwoodsawyer/dpre/releases/tag/v2.0.0.1), GitHub. Retrieved .

MATLAB Release Compatibility
Created with R2020b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.