Riccati equation

E649479

A Riccati equation is a type of nonlinear differential or difference equation, often quadratic in the unknown function, that plays a central role in control theory, filtering, and various areas of applied mathematics.

All labels observed (4)

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Statements (50)

Predicate Object
instanceOf difference equation type ⓘ
mathematical concept ⓘ
nonlinear differential equation ⓘ
ordinary differential equation type ⓘ
appearsIn continuous-time optimal control problems ⓘ
discrete-time optimal control problems ⓘ
state estimation problems ⓘ
canBeTransformedTo second-order linear differential equation ⓘ
field applied mathematics ⓘ
control theory ⓘ
differential equations ⓘ
estimation theory ⓘ
filtering theory ⓘ
optimal control ⓘ
stochastic control ⓘ
generalizes Bernoulli differential equation ⓘ
hasForm dy/dx = q0(x) + q1(x) y + q2(x) y^2 ⓘ
x_{k+1} = A_k + B_k x_k + C_k x_k^2 (difference form) ⓘ
y'(x) = a(x) y(x)^2 + b(x) y(x) + c(x) ⓘ
hasVariant algebraic Riccati equation ⓘ
differential Riccati equation ⓘ
linked to: Riccati equation

discrete-time Riccati equation ⓘ
linked to: Riccati equation

stochastic Riccati equation ⓘ
isNonlinearIn unknown function ⓘ
isQuadraticIn unknown function ⓘ
namedAfter Jacopo Francesco Riccati ⓘ
property first-order (differential form) ⓘ
nonlinear ⓘ
quadratic nonlinearity ⓘ
relatedTo Schrödinger equation ⓘ
logarithmic derivative transformation ⓘ
solutionDependsOn coefficients a(x), b(x), c(x) ⓘ
solutionSpace can exhibit finite-time blow-up ⓘ
solvedBy linearization techniques ⓘ
particular solution substitution ⓘ
reduction to second-order linear ODE ⓘ
specialCaseOf first-order nonlinear ordinary differential equation ⓘ
usedIn H-infinity control ⓘ
Kalman filtering ⓘ
linked to: Kalman filter

dynamic programming ⓘ
filter design ⓘ
financial mathematics ⓘ
linear quadratic Gaussian control ⓘ
linear quadratic regulator ⓘ
population dynamics models ⓘ
quantum mechanics ⓘ
signal processing ⓘ
smoothing algorithms ⓘ
soliton theory ⓘ
trajectory optimization ⓘ

How these facts were elicited

Referenced by (5)

Full triples — surface form annotated when it differs from this entity's canonical label.

Kailath factorization → relatedTo → Riccati equation ⓘ
Lyapunov equation → relatedTo → Riccati equation ⓘ
Bernoulli differential equation → relatedTo → Riccati differential equations ⓘ
linked to: Riccati equation
Riccati equation → hasVariant → differential Riccati equation ⓘ
linked to: Riccati equation
Riccati equation → hasVariant → discrete-time Riccati equation ⓘ
linked to: Riccati equation