Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099359 | Journal of Economic Dynamics and Control | 2007 | 19 Pages |
Abstract
In linear-quadratic control (LQC) problems with singularities in the control cost and/or the transition matrices, we derive a reduction of the dimension of the Riccati matrix, simplifying iteration and solution. Employing a novel transformation, we show that, under a certain rank condition, the matrix of optimal feedback coefficients is linear in the reduced Riccati matrix. For a substantive class of problems, our technique permits scalar iteration, leading to simple analytical solution.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Ronald J. Balvers, Douglas W. Mitchell,