On the Riccati difference equation of optimal control

Research output: Contribution to journalArticle

Abstract

Necessary and sufficient conditions for the existence of a stabilizing solution to the Riccati difference equation of quadratic optimal control are derived. The results are based on a recent spectral characterization of stabilizability which allow for the time-invariant derivation to go through mutatis mutandis. It is also shown that if the system's dynamics are antistable or observable, then the solution is positive-definite.

Original languageEnglish (US)
Pages (from-to)313-326
Number of pages14
JournalLinear and Multilinear Algebra
Volume46
Issue number4
DOIs
StatePublished - Jan 1 1999

Keywords

  • Optimal control
  • Riccati equations
  • Time-varying systems

ASJC Scopus subject areas

  • Algebra and Number Theory

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