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I need to use a Discrete-time Algebraic Riccati Equation (DARE) solver for an embedded controller (with limited processing power) in a research project and sadly, I can't find any implementation of it in C++ that I can understand. I use C++ since it is faster than higher-level languages.

I found various libraries online that offer Riccati equation or LQR solvers such as the Control Toolbox or Drake, but I can't understand the language and I think they are full of unnecessary functions and things for the simple job of solving DARE.

I would like the implementation to use basic open-source C++ libraries or header files such as Eigen, Armadillo, etc. with a lot of documentation, tutorials, or an active online community using them so that I can learn the syntax on my own. I'm looking for a simple code like Arash's C++ implementation of the Continuous-time Algebraic Riccati Equation (CARE) solver on Math SE.

If you don't have a personal C++ code, can you please refer me to a library or something that can help me implement DARE in C++? I attempted to write my own solver but when I read papers of the Riccati solver, I was dumbfounded by the math and terminologies since I am an undergraduate engineering student with only basic knowledge in linear algebra.

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    $\begingroup$ Have you tried implementing the algorithm at en.wikipedia.org/wiki/Algebraic_Riccati_equation#Solution yourself? $\endgroup$
    – Kirill
    Dec 22, 2018 at 14:18
  • $\begingroup$ @Kirill, I have not since I thought that the options of implementing it and the theory are complicated. Should I implement the algorithm myself at this point? Can you recommend a reference for a fast DARE solver algorithm that is easy to understand by an amateur in Math like me? Should I implement the one written in Wikipedia? I've read that "State-of-the-art implementations of ARE solvers use a Schur decomposition method. This is what MATLAB is using (SciPy, Octave, and LAPACK also it)." <github.com/RobotLocomotion/drake/issues/1180> Is this true? $\endgroup$
    – John Smith
    Dec 23, 2018 at 6:08
  • $\begingroup$ Also, the solution in Wikipedia is for CARE not DARE. $\endgroup$
    – John Smith
    Dec 23, 2018 at 6:18
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    $\begingroup$ @JohnSmith did it work? if yes, a short self-answer would be very useful. $\endgroup$
    – Anton Menshov
    Jun 5, 2019 at 22:01
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    $\begingroup$ @AntonMenshov I decided not to implement the solver in the embedded controller. I used a computer software instead to solve the DARE and then programmed the solution to the controller. $\endgroup$
    – John Smith
    Jun 12, 2019 at 13:42

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If you want a ten-line solution that is decently fast and stable, you can implement yourself the structured doubling algorithm: set up the coupled iteration

$A_0 = A, G_0 = G = BR^{-1}B^T, H_0 = Q$

While $\frac{\|H_{k+1}-H_k\|}{\|H_{k+1}\|} \geq \varepsilon$:

$\quad \quad A_{k+1} = A_k(I+G_kH_k)^{-1}A_k$

$\quad \quad G_{k+1} = G_k + A_k(I+G_kH_k)^{-1}G_kA_k^T$

$\quad \quad H_{k+1} = H_k + A_k^TH_k(I+G_kH_k)^{-1}A_k$

Return $H_{k+1}$.

The matrices $H_k$ are symmetric, and they converge quadratically fast to the stabilizing solution $X$ of $X = A^TXA - (B^TXA)^T(R+B^TXB)^{-1}B^TXA + Q$.

Reference: http://dx.doi.org/10.1080/00207170410001714988 .

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