Related papers: The Discrete-Time Generalized Algebraic Riccati Eq…
This paper proposes a reduction technique for the generalised Riccati difference equation arising in optimal control and optimal filtering. This technique relies on a study on the generalised discrete algebraic Riccati equation. In…
Algebraic Riccati equations are encountered in many applications of control and engineering problems, e.g., LQG problems and $H^\infty$ control theory. In this work, we study the properties of one type of discrete-time algebraic Riccati…
This paper introduces a generalization of the well-known Riccati recursion for solving the discrete-time equality-constrained linear quadratic optimal control problem. The recursion can be used to compute the solutions as well as optimal…
We present high order explicit geometric integrators to solve linear-quadratic optimal control problems and $N$-player differential games. These problems are described by a system coupled non-linear differential equations with boundary…
We consider the numerical solution of large-scale symmetric differential matrix Riccati equations. Under certain hypotheses on the data, reduced order methods have recently arisen as a promising class of solution strategies, by forming…
This paper investigates the properties of the solutions of the generalised discrete algebraic Riccati equation arising from the solution of the classic infinite-horizon linear quadratic control problem. In particular, a geometric analysis…
The purpose of this paper is to investigate the role that the continuous-time generalised Riccati equation plays within the context of singular linear-quadratic optimal control. This equation has been defined following the analogy with the…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
Discrete algebraic Riccati equations and their fixed points are well understood and arise in a variety of applications, however, the time-varying equations have not yet been fully explored in the literature. In this article we provide a…
Solving large-scale continuous-time algebraic Riccati equations is a significant challenge in various control theory applications. This work demonstrates that when the matrix coefficients of the equation are quasiseparable, the solution…
Differential algebraic Riccati equations are at the heart of many applications in control theory. They are time-depent, matrix-valued, and in particular nonlinear equations that require special methods for their solution. Low-rank methods…
An ordinary differential equation is said to have a superposition formula if its general solution can be expressed as a function of a finite number of particular solution. Nonlinear ODE's with superposition formulas include matrix Riccati…
This paper analyzes the properties of the solutions of the generalized continuous algebraic Riccati equation from a geometric perspective. This analysis reveals the presence of a subspace that may provide an appropriate degree of freedom to…
In this paper we consider a class of conjugate discrete-time Riccati equations, arising originally from the linear quadratic regulation problem for discrete-time antilinear systems. Under mild and reasonable assumptions, the existence of…
We study in this paper the linear quadratic optimal control (linear quadratic regulation, LQR for short) for discrete-time complex-valued linear systems, which have shown to have several potential applications in control theory. Firstly, an…
We consider approximations to the solutions of differential Riccati equations in the context of linear quadratic regulator problems, where the state equation is governed by a multiscale operator. Similarly to elliptic and parabolic…
In this paper we present a direct formula for the solution of the general second order linear ordinary differential equation as our main result such that the parameters required for the formula are determined using another differential…
The Riccati differential equation is examined in light of its connection to second order linear time varying systems. In that light it becomes the clear generalization for the characteristic equation of linear time invariant systems, and is…
In \emph{Guo et al, arXiv:2005.08288}, we propose a decoupled form of the structure-preserving doubling algorithm (dSDA). The method decouples the original two to four coupled recursions, enabling it to solve large-scale algebraic Riccati…
We propose a new algorithm for a broad class of periodic time-varying Stochastic Game-Theoretic Riccati Differential Equations arising in Zero-Sum Linear-Quadratic Stochastic Differential Games. The algorithm is constructed via dual-layer…