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 language | English (US) |
|---|---|
| Pages (from-to) | 313-326 |
| Number of pages | 14 |
| Journal | Linear and Multilinear Algebra |
| Volume | 46 |
| Issue number | 4 |
| DOIs | |
| State | Published - Jan 1 1999 |
Keywords
- Optimal control
- Riccati equations
- Time-varying systems
ASJC Scopus subject areas
- Algebra and Number Theory