Related papers: Inheritance properties of the conjugate discrete-t…
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 some mild assumptions and the framework of the…
In this paper we consider a class of conjugate discrete-time Riccati equations (CDARE), arising originally from the linear quadratic regulation problem for discrete-time antilinear systems. Recently, we have proved the existence of the…
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…
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…
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…
We develop a discrete analogue of Hamilton-Jacobi theory in the framework of discrete Hamiltonian mechanics. The resulting discrete Hamilton-Jacobi equation is discrete only in time. We describe a discrete analogue of Jacobi's solution and…
In this article we address the issue of uniqueness for differential and algebraic operator Riccati equations, under a distinctive set of assumptions on their unbounded coefficients. The class of boundary control systems characterized by…
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…
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…
Contraction properties of the Riccati operator are studied within the context of non-stationary linear-quadratic optimal control. A lifting approach is used to obtain a bound on the rate of strict contraction, with respect to the Riemannian…
A discrete-time stochastic LQ problem with multiplicative noises and state transmission delay is studied in this paper, which does not require any definiteness constraint on the cost weighting matrices. From some abstract representations of…
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…
In this article we study the optimal control problem with quadratic functionals for a linear Volterra integro-differential equation in Hilbert spaces. With the finite history seen as an (additional) initial datum for the evolution,…
Algebraic Riccati equations (AREs) have been extensively applicable in linear optimal control problems and many efficient numerical methods were developed. The most attention of numerical solutions is the (almost) stabilizing solution in…
This paper proposes a novel lifting method which converts the standard discrete-time linear periodic system to an augmented linear time-invariant system. The linear quadratic optimal control is then based on the solution of the…
The control algebraic Riccati equation is studied for a class of systems with unbounded control and observation operators. Using a dichotomy property of the associated Hamiltonian operator matrix, two invariant graph subspaces are…
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 this paper we discuss how to decompose the constrained generalized discrete-time algebraic Riccati equation arising in optimal control and optimal filtering problems into two parts corresponding to an additive decomposition X=X0+D of…