A reduction technique for generalised Riccati difference equations arising in linear-quadratic optimal control
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In this paper we develop a reduction technique for the generalised Riccati difference equation arising in optimal control and optimal filtering. This technique relies on a decomposition method for the generalised Riccati difference equation that isolates its nilpotent part, which becomes constant in a number of iteration steps equal to the nilpotency index of the closed-loop, from another part that can be computed by iterating a reduced-order Riccati difference equation.
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Ferrante, A.; Ntogramatzidis, Lorenzo (2013)This paper proposes a reduction technique for the generalized Riccati difference equation arising in optimal control and optimal filtering. This technique relies on a study on the generalized discrete algebraic Riccati ...
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