Solving differential matrix Riccati equations by a piecewise-linearized method based on diagonal Padé approximants Original Research Article

Differential Matrix Riccati Equations (DMREs) appear in several branches of science such as applied physics and engineering. For example, these equations play a fundamental role in control theory, optimal control, filtering and estimation, decoupling and order reduction, etc. In this paper a new method based on a theorem proved in this paper is described for solving DMREs by a piecewise-linearized approach. This method is applied for developing two block-oriented algorithms based on diagonal Padé approximants. MATLAB versions of the above algorithms are developed, comparing, under equal conditions, accuracy and computational costs with other piecewise-linearized algorithms implemented by the authors. Experimental results show the advantages of solving stiff or non-stiff DMREs by the implemented algorithms.