The generalised discrete algebraic Riccati equation arising in LQ optimal control problems: Part II
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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