On Oscillation and Nonoscillation Domains for Difference Riccati Equation

1999 ◽  
pp. 157-168
Author(s):  
Julia V. Elyseeva
Keyword(s):  
Riccati Equation ◽  
Difference Riccati Equation ◽  
Oscillation And Nonoscillation

On Existence of Solutions of Difference Riccati Equation

2019 ◽  
Vol 39 (1) ◽  
pp. 139-147
Author(s):  
Zongxuan Chen ◽  
Kwang Ho Shon
Keyword(s):  
Riccati Equation ◽  
Existence Of Solutions ◽  
Difference Riccati Equation

scholarly journals Stochastic Linear Quadratic Optimal Control with Indefinite Control Weights and Constraint for Discrete-Time Systems

2015 ◽  
Vol 2015 ◽  
pp. 1-11
Author(s):  
Xikui Liu ◽  
Guiling Li ◽  
Yan Li
Keyword(s):  
Optimal Control ◽  
Riccati Equation ◽  
Discrete Time ◽  
Linear Quadratic ◽  
Linear Quadratic Optimal Control ◽  
Discrete Time Systems ◽  
Quadratic Optimal Control ◽  
The Cost ◽  
Time Systems ◽  
Difference Riccati Equation

The Karush-Kuhn-Tucker (KKT) theorem is used to study stochastic linear quadratic optimal control with terminal constraint for discrete-time systems, allowing the control weighting matrices in the cost to be indefinite. A generalized difference Riccati equation is derived, which is different from those without constraint case. It is proved that the well-posedness and the attainability of stochastic linear quadratic optimal control problem are equivalent. Moreover, an optimal control can be denoted by the solution of the generalized difference Riccati equation.

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