More generally, the term "Riccati equation" is used to refer to matrix equations with an analogous quadratic term, which occur in both continuous-time and discrete-time linear-quadratic-Gaussian control. The steady-state (non-dynamic) version of these is referred to as the algebraic Riccati equation.
Reduction to a second order linear equation
then, wherever is non-zero, satisfies a Riccati equation of the form
where and , because
Substituting , it follows that satisfies the linear 2nd order ODE
A solution of this equation will lead to a solution of the original Riccati equation.
Application to the Schwarzian equation
An important application of the Riccati equation is to the 3rd order Schwarzian differential equation
which occurs in the theory of conformal mapping and univalent functions. In this case the ODEs are in the complex domain and differentiation is with respect to a complex variable. (The Schwarzian derivative has the remarkable property that it is invariant under Möbius transformations, i.e. whenever is non-zero.) The function satisfies the Riccati equation
By the above where is a solution of the linear ODE
Since , integration gives for some constant . On the other hand any other independent solution of the linear ODE has constant non-zero Wronskian which can be taken to be after scaling. Thus
so that the Schwarzian equation has solution
Obtaining solutions by quadrature
The correspondence between Riccati equations and second-order linear ODEs has other consequences. For example, if one solution of a 2nd order ODE is known, then it is known that another solution can be obtained by quadrature, i.e., a simple integration. The same holds true for the Riccati equation. In fact, if one particular solution can be found, the general solution is obtained as
in the Riccati equation yields
which is a Bernoulli equation. The substitution that is needed to solve this Bernoulli equation is
directly into the Riccati equation yields the linear equation
A set of solutions to the Riccati equation is then given by
where z is the general solution to the aforementioned linear equation.
- Linear-quadratic regulator
- Algebraic Riccati equation
- Matrix Riccati equation#Mathematical description of the problem and solution
- Hazewinkel, Michiel, ed. (2001), "Riccati equation", Encyclopedia of Mathematics, Springer, ISBN 978-1-55608-010-4
- Riccati Equation at EqWorld: The World of Mathematical Equations.
- Riccati Differential Equation at Mathworld
- MATLAB function for solving continuous-time algebraic Riccati equation.
- Riccati, Jacopo (1724) "Animadversiones in aequationes differentiales secundi gradus" (Observations regarding differential equations of the second order), Actorum Eruditorum, quae Lipsiae publicantur, Supplementa, 8 : 66-73. Translation of the original Latin into English: by Ian Bruce.
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