• DocumentCode
    794399
  • Title

    On solutions of the Riccati equation in optimization problems

  • Author

    Friedland, Bernard

  • Author_Institution
    General Precision, Incorporated, Little Falls, NJ, USA
  • Volume
    12
  • Issue
    3
  • fYear
    1967
  • fDate
    6/1/1967 12:00:00 AM
  • Firstpage
    303
  • Lastpage
    304
  • Abstract
    The difference D between two solutions S and M of the matrix Riccati equation. -\\dot{M} = MA + A\´M + MBM + C is given by D = RQ^{-1}R\´ , where -\\dot{R} = (A+SB)R and -\\dot{Q}= RBR\´ . These relations can be used to evaluate M(t) for t < T arising in optimization problems in which M(T) does not exist. The relations can also be used to compare the solution of the Riccati equation with its asymptotic solution.
  • Keywords
    Linear systems, time-invariant continuous-time; Riccati equations; Difference equations; Differential equations; NASA; Riccati equations; State-space methods; Symmetric matrices; Time varying systems; Vectors;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1967.1098602
  • Filename
    1098602
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=794399