Matrix Riccati Equations in Optimal Control
Matrix Riccati Equations in Optimal Control作者机构：School of Computer Sciences and Mathematics Marist College Poughkeepsie USA
出 版 物：《Applied Mathematics》 (应用数学（英文）)
年 卷 期：2024年第15卷第3期
页 面：199-213页
学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学]
主 题：Optimal Control Matrix Riccati Equation Change of Variable
摘 要：In this paper, the matrix Riccati equation is considered. There is no general way for solving the matrix Riccati equation despite the many fields to which it applies. While scalar Riccati equation has been studied thoroughly, matrix Riccati equation of which scalar Riccati equations is a particular case, is much less investigated. This article proposes a change of variable that allows to find explicit solution of the Matrix Riccati equation. We then apply this solution to Optimal Control.
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