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    Riccati equation

    Dear all
    what is Riccati equation and what is its applications

    •   Alt26th March 2006, 22:14

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    Riccati equation

    Dear friend -
    It has sadly been almost a week with no response.

    My only experiences with Riccati equatiions has been to do with Kalman (and Kalman/Bucy) filters ... differential or discrete (as per the application).
    Riccati had several pivotal solutions to differential equations.
    Can you be more specific as to what you're studying them for?


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    •   Alt31st March 2006, 04:06

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    Re: Riccati equation

    Riccati equations are specific ODEs as the following:

    dy/dx=f(x) + g(x)y + h(x)y^2.

    These equations usually cannot be solved by closed forms, except for very special (f(x),g(x),h(x)).

    Look at this simple equation:

    dy/dx=x^2 + y^2,

    which is a classical Riccati equation and has to be solved numerically.


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    •   Alt31st March 2006, 08:32

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    Re: Riccati equation

    Thanks all
    if anyone has a documents or books with more details the help will be highly appreciated, I study the Riccati equations as a part of studing the optimization techniques(the Kalman filters is an issue)



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    Riccati equation

    Hi,

    Here is a link of differential equations book with several pages dealing with Riccati eqs.

    http://www.sosmath.com/diffeq/diffeq.html


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