Solvability of the discrete LQR-problem under minimal assumptions

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Authors

HILSCHER Roman ZEIDAN Vera

Year of publication 2005
Type Article in Proceedings
Conference Difference Equations and Discrete Dynamical Systems
MU Faculty or unit

Faculty of Science

Citation
Field General mathematics
Keywords Discrete linear regulator; Discrete quadratic functional; Riccati matrix equation
Description The purpose of this paper is to provide a solution to the classical discrete linear-quadratic regulator problem under minimal assumptions. In particular, we do not assume the positive or nonnegative definiteness of the coefficients. Instead, a natural condition is imposed which is necessary for minimizing the involved discrete quadratic functional. The optimal solution is constructed from a generalized discrete Riccati equation and has a feedback form.
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