USing Differential Ricatti Equation with final value condition and dynamic equation with initial condition using ode45
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I want to solve an LQR problem using ode45(or any other matlab differential equation solver).
I have time invariant A,B,Q and R matrix. They are used to yield P(t) by solving differential riccati equation.
Differential Riccati equation has final value condition and I can use ode45 to solve it. This gives us P(t).
The resulting diffrential equation yields u = -R^{-1}B'P(t)x, which is then utilized to solve system dynamic equation using initial value equation.
I know how to solve both of them individually. However, the issue is I am not sure about the time steps in ode45.
Since P(t) solved by ode45 has its own time stamp and I can ensure time stamps by passing time vector.
However, how can I ensure that the time steps are sufficients for ode45 used with system dynamics with initial value condition.
Is there a way to get around this problem.
Thanks
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