The linear-quadratic optimal regulator for continuous-time descriptor systems: a dynamic programming approach
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Abstract In this paper we consider the linear-quadratic optimal regulator problem for continuous-time descriptor system by the dynamic programming approach. A generalized Riccati equation is derived by making use of the Hamilton-Jacobi equation for the descriptor system. Sufficient conditions for the existence of a solution of the generalized Riccati differential (algebraic) equation are studied. It is shown that the existence of the solution of the generalized Riccati differential (algebraic) equation depends on the solutions of a standard Riccati algebraic equation and a standard Riccati differential (algebraic) equation. As in the regular state-space system, the solution of the generalized Riccati equation is used in the construction of the optimal feedback gains.Keywords:
Algebraic Riccati equation
Universal differential equation
Algebraic equation
Algebraic differential equation
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Abstract In this paper we consider the linear-quadratic optimal regulator problem for continuous-time descriptor system by the dynamic programming approach. A generalized Riccati equation is derived by making use of the Hamilton-Jacobi equation for the descriptor system. Sufficient conditions for the existence of a solution of the generalized Riccati differential (algebraic) equation are studied. It is shown that the existence of the solution of the generalized Riccati differential (algebraic) equation depends on the solutions of a standard Riccati algebraic equation and a standard Riccati differential (algebraic) equation. As in the regular state-space system, the solution of the generalized Riccati equation is used in the construction of the optimal feedback gains.
Algebraic Riccati equation
Universal differential equation
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Algebraic differential equation
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The optimal control problem for a linear system with a quadratic cost function leads to the matrix Riccati differential equation. The convergence of the solution of this equation for increasing time interval is investigated as a function of the final state penalty matrix. A necessary and sufficient condition for convergence is derived for stabilizable systems, even if the output in the cost function is not detectable. An algorithm is developed to determine the limiting value of the solution, which is one of the symmetric positive semidefinite solutions of the algebraic Riccati equation. Examples for convergence and nonconvergence are given. A discussion is also included of the convergence properties of the solution of the Riccati differential equation to any real symmetric (not necessarily positive semidefinite) solution of the algebraic Riccati equation.
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In this technical note, we investigate a solution of the matrix differential Riccati equation that plays an important role in the linear quadratic optimal control problem. Unlike many methods in the literature, the approach that we propose employs the negative definite anti-stabilizing solution of the matrix algebraic Riccati equation and the solution of the matrix differential Lyapunov equation. An illustrative numerical example is provided to show the efficiency of our approach.
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In this paper we present a direct formula for the solution of the general second order linear ordinary differential equation as our main result such that the parameters required for the formula are determined using another differential equation, which happens to be a Riccati Equation. We also derive other results based on the main result which include special cases for the concerned differential equation with variable coefficients, formula for solution of concerned differential equation with constant coefficients and formula for the solution of the concerned differential equation with one complimentary solution known.
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Sufficient conditions are presented for the existence of a stabilizing solution to a Riccati differential equation using the notion of a pole set for a time-varying state equation previously defined by the author (1997). The results presented in this paper supplement the work of Ravi et al. (1992) and generalize the methods used in the investigation of stabilizing solutions to the algebraic Riccati equation.
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