Solving large algebraic riccati-like problem
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Hi everyone, for my master thesys i need to solve a modified algebraic riccati equation. Now i am using fsolve, in some cases it converge in few seconds, but sometimes i can't solve it and i have also no idea how to choose the initial guess. The system dimension is 66. Is there a better way to deal with these kind of problems? riccati equation is not so different from mine, and kalman function runs instantly. Thanks in advance for the help.
Here is the code i'm using now: