[Scipy-tickets] [SciPy] #1732: solve_discrete_are in scipy.linalg does (sometimes) not solve correctly
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Sat Sep 22 11:11:08 CDT 2012
#1732: solve_discrete_are in scipy.linalg does (sometimes) not solve correctly
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Reporter: inde | Owner: somebody
Type: defect | Status: new
Priority: normal | Milestone: Unscheduled
Component: scipy.linalg | Version: devel
Keywords: riccati, solve_discrete_are |
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Comment(by ArmstrongJ):
I'll look into the particular solution, but the technique used to arrive
at the solution, Laub's Schur method, does not guarantee a valid solution
in all cases. Laub's technique is a simple, straightforward solution to
the DARE. However, a significant number of cases fail using the direct
solver. I talk a bit about it in my PyCon talk in 2011. Alternate
solvers, such as an iterative technique or SLICOT's implementation, might
be better in some cases.
MATLAB uses SLICOT to solve the algebraic Riccati equations, which is more
robust. However, SLICOT is GPL, so here we are.
Again, I'll have a look at the problematic case, but there is no guarantee
of a solution using the technique included in SciPy.
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Ticket URL: <http://projects.scipy.org/scipy/ticket/1732#comment:4>
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