On the Riccati difference equation of optimal control

Pablo A. Iglesias

doi:10.1080/03081089908818624

On the Riccati difference equation of optimal control

Pablo A. Iglesias

Whiting School of Engineering

Research output: Contribution to journal › Article

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	https://doi.org/10.1080/03081089908818624
State	Published - Jan 1 1999

Keywords

Optimal control
Riccati equations
Time-varying systems

ASJC Scopus subject areas

Algebra and Number Theory

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10.1080/03081089908818624

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Iglesias, P. A. (1999). On the Riccati difference equation of optimal control. Linear and Multilinear Algebra, 46(4), 313-326. https://doi.org/10.1080/03081089908818624

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