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:
fsolve(@(L)A0*L+L*A0'+lambda.*L+Q+1/lambda.*A1*Pi*A1'-L*C'*Rinv*C*L,L0)

Answers (1)

M
M on 7 Jun 2018
Why don't you use the matlab function for Riccati equation?
  2 Comments
viyils Sangregorio
viyils Sangregorio on 10 Jun 2020
Edited: viyils Sangregorio on 10 Jun 2020
I have the same question were you able to solve you problem ?

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