In order to improve the QZ decomposition accuracy, the pencil goes through a balancing step where the sum of absolute values of :math:`H` and :math:`J` rows/cols (after removing the diagonal entries) is balanced following the recipe given in [3]_. If the data has small numerical noise, balancing may amplify their effects and some clean up is required. .. versionadded:: 0.11.0 References ---------- .. [1] P. van Dooren , "A Generalized Eigenvalue Approach For Solving Riccati Equations.", SIAM Journal on Scientific and Statistical Computing, Vol.2(2), :doi:`10.1137/0902010` .. [2] A.J. Laub, "A Schur Method for Solving Algebraic Riccati Equations.", Massachusetts Institute of Technology. Laboratory for Information and Decision Systems. LIDS-R ; 859. Available online : http://hdl.handle.net/1721.1/1301 .. [3] P. Benner, "Symplectic Balancing of Hamiltonian Matrices", 2001, SIAM J. Sci. Comput., 2001, Vol.22(5), :doi:`10.1137/S1064827500367993` Examples -------- Given `a`, `b`, `q`, and `r` solve for `x`: >>> import numpy as np >>> from scipy import linalg as la >>> a = np.array([[0, 1], [0, -1]]) >>> b = np.array([[1, 0], [2, 1]]) >>> q = np.array([[-4, -4], [-4, 7]]) >>> r = np.array([[9, 3], [3, 1]]) >>> x = la.solve_discrete_are(a, b, q, r) >>> x array([[-4., -4.], [-4., 7.]]) >>> R = la.solve(r + b.T.dot(x).dot(b), b.T.dot(x).dot(a)) >>> np.allclose(a.T.dot(x).dot(a) - x - a.T.dot(x).dot(b).dot(R), -q) True Ú