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Infinite-Horizon Linear-Quadratic Control by Forward Propagation of the Differential Riccati Equation
Date
2015-04-01
Author
Prach, Anna
Tekinalp, Ozan
Bernstein, Dennis S.
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Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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One of the foundational principles of optimal control theory is that optimal control laws are propagated backward in time. For linear-quadratic control, this means that the solution of the Riccati equation must be obtained from backward integration from a final-time condition. These features are a direct consequence of the transversality conditions of optimal control, which imply that a free final state corresponds to a fixed final adjoint state [1], [2]. In addition, the principle of dynamic programming and the associated Hamilton-Jacobi-Bellman equation is an inherently backward-propagating methodology [3].
Subject Keywords
Riccati equations
,
Optimal control
,
Quadratic control
,
Stability analysis
,
Dynamic programming
,
Kalman filters
URI
https://hdl.handle.net/11511/49239
Journal
IEEE CONTROL SYSTEMS MAGAZINE
DOI
https://doi.org/10.1109/mcs.2014.2385252
Collections
Department of Aerospace Engineering, Article
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A. Prach, O. Tekinalp, and D. S. Bernstein, “Infinite-Horizon Linear-Quadratic Control by Forward Propagation of the Differential Riccati Equation,”
IEEE CONTROL SYSTEMS MAGAZINE
, pp. 78–93, 2015, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/49239.