On solutions of the Riccati equation in optimization problems
- 1 June 1967
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 12 (3), 303-304
- https://doi.org/10.1109/TAC.1967.1098602
Abstract
The differenceDbetween two solutionsSandMof the matrix Riccati equation.-\dot{M} = MA + A'M + MBM + Cis given byD = RQ^{-1}R', where-\dot{R} = (A+SB)Rand-\dot{Q}= RBR'. These relations can be used to evaluateM(t)fort < Tarising in optimization problems in whichM(T)does not exist. The relations can also be used to compare the solution of the Riccati equation with its asymptotic solution.Keywords
This publication has 1 reference indexed in Scilit:
- A Technique of Quasi-Optimum ControlJournal of Basic Engineering, 1966