Related papers: A reduction technique for Generalised Riccati Diff…
We consider a Krylov subspace approximation method for the symmetric differential Riccati equation $\dot{X} = AX + XA^T + Q - XSX$, $X(0)=X_0$. The method we consider is based on projecting the large scale equation onto a Krylov subspace…
There is the paper by H. Tietze published in 1905 on differential transcendence of solutions of difference Riccati equations. In this paper, we clarify the essence of Tietze's treatment and make it purely algebraic. As an application, the…
We study the non-autonomous Riccati difference equation \[x_{n+1}=\frac{a_nx_n+b_n}{c_nx_n+d_n}, \ n=0,1,2,\cdots\] where $(a_n)_{n\geq0}, \ (b_n)_{n\geq0}, \ (c_n)_{n\geq0}, \ \text{and} \ (d_n)_{n\geq0}$ are $k$-periodic sequences, $k\geq…
Under mild conditions on the noise level of the measurements, rotation averaging satisfies strong duality, which enables global solutions to be obtained via semidefinite programming (SDP) relaxation. However, generic solvers for SDP are…
Riccati's differential equation is formulated as abstract equation in finite or infinite dimensional Banach spaces. Since the Riccati's differential equation with the Cole-Hopf transform shows a relation between the first order evolution…
We derive a reduced-order state estimator for discrete-time infinite dimensional linear systems with finite dimensional Gaussian input and output noise. This state estimator is the optimal one-step estimate that takes values in a fixed…
The Riccati equation method is used to establish some global solvability criteria for some classes of second order nonlinear ordinary differential equations. Two oscillation theorems are proved. The results are applied to the Emden - Fowler…
Current algorithms for large-scale industrial optimization problems typically face a trade-off: they either require exponential time to reach optimal solutions, or employ problem-specific heuristics. To overcome these limitations, we…
We characterize generalized derivatives of the solution operator of the obstacle problem. This precise characterization requires the usage of the theory of so-called capacitary measures and the associated solution operators of relaxed…
A novel formulation of the Lie-Darboux method of obtaining the Riccati equations for the spatial curves in Euclidean three-dimensional space is presented. It leads to two Riccati equations that differ by the sign of torsion. The case of…
This paper studies a discrete-time stochastic control problem with linear quadratic criteria over an infinite-time horizon. We focus on a class of control systems whose system matrices are associated with random parameters involving unknown…
In this paper, we present and analyze an interior penalty discontinuous Galerkin method for the distributed elliptic optimal control problems. It is based on a reconstructed discontinuous approximation which admits arbitrarily high-order…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The stabilizability of the control system is studied followed by…
The coupled Riccati equations are cosisted of multiple Riccati-like equations with solutions coupled with each other, which can be applied to depict the properties of more complex systems such as markovian systems or multi-agent systems.…
The article presents a rather surprising Floquet-type representation of time-varying transition matrices associated with a class of nonlinear matrix differential Riccati equations. The main difference with conventional Floquet theory comes…
This paper studies linear quadratic Gaussian robust mean field social control problems in the presence of multiplicative noise. We aim to compute asymptotic decentralized strategies without requiring full prior knowledge of agents'…
Finding the state feedback control in an $% H^{\infty }$-optimal control problem involves a challenging approach of the associated algebraic Riccati equation of the generic form $A^{\ast }P+PA+P\Gamma P=F$. In view of this objective, we…
The Riccati equation method is used to establish some new stability criteria for systems of two linear first-order ordinary differential equations. It is shown that two of these criteria in the two dimensional case imply the Routh -…
The gradient discretisation method (GDM) is a generic framework designed recently, as a discretise in spatial space, to partial differential equations. This paper aims to use the GDM to establish a first general error estimate for numerical…