In this paper we develop an analytic approach to the solution of a very general class of discrete finite-horizon optimal control problems. This method hinges on a new decomposition of the so-called extended symplectic pencil. Interestingly, the results established in this paper hold under assumptions that are weaker than the ones considered in the literature so far.
The generalised discrete algebraic Riccati equation arising in LQ optimal control problems: Part II
FERRANTE, AUGUSTO;
2012
Abstract
In this paper we develop an analytic approach to the solution of a very general class of discrete finite-horizon optimal control problems. This method hinges on a new decomposition of the so-called extended symplectic pencil. Interestingly, the results established in this paper hold under assumptions that are weaker than the ones considered in the literature so far.
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