Journal
LINEAR & MULTILINEAR ALGEBRA
Volume 62, Issue 11, Pages 1460-1474Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/03081087.2013.834056
Keywords
generalized Riccati difference equation; finite-horizon LQ problem; generalized discrete algebraic Riccati equation; extended symplectic pencil
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Funding
- Italian Ministry for Education and Research (MIUR) [PRIN grant] [20085FFJ2Z]
- Australian Research Council [FT120100604]
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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 equation. In particular, an analysis on the eigenstructure of the corresponding extended symplectic pencil enables to identify a subspace in which all the solutions of the generalized discrete algebraic Riccati equation are coincident. This subspace is the key to derive a decomposition technique for the generalized Riccati difference equation. This decomposition isolates a nilpotent part, which converges to a steady-state solution in a finite number of steps, from another part that can be computed by iterating a reduced-order generalized Riccati difference equation.
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