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)

How this entity was disambiguated

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