ABSTRACT
XA+A′X −XBX +C = 0, (14.15) called the algebraic Riccati equation. This equation can have real n× n matrix solutions X that are symmetric or nonsymmetric, sign definite or indefinite, and the set of solutions can be either finite or infinite. These solutions will be studied under the standing assumption of Equation 14.12, namely
B = B′, B ≥ 0 and C = C′, C ≥ 0.
