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funm_atom.m: rename fun_atom to funm_atom * funm_atom.m: rename fun_atom to funm_atom.
author Antonio Pino Robles <data.script93@gmail.com>
date Fri, 29 May 2015 09:48:36 +0200
parents 8f23314345f4
children
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function X = riccati_xaxb(A,B)
%RICCATI_XAXB  Solve Riccati equation XAX = B in positive definite matrices.
%   X = RICCATI_XAXB(A,B) is the Hermitian positive definite
%   solution to XAX = B, where A and B are Hermitian positive
%   definite matrices.

R = chol(A);
S = chol(B);

U = polar_newton(S*R');
X = R\(U'*S);
X = (X + X')/2;

% [U,H] = polar_newton(R*S'); % Variant derived in solution of Problem 6.21.
% X = R\(U*S);