Solvability of the discrete LQR-problem under minimal assumptions
|Year of publication
|Article in Proceedings
|Difference Equations and Discrete Dynamical Systems
|MU Faculty or unit
|Discrete linear regulator; Discrete quadratic functional; Riccati matrix equation
|The purpose of this paper is to provide a solution to the classical discrete linear-quadratic regulator problem under minimal assumptions. In particular, we do not assume the positive or nonnegative definiteness of the coefficients. Instead, a natural condition is imposed which is necessary for minimizing the involved discrete quadratic functional. The optimal solution is constructed from a generalized discrete Riccati equation and has a feedback form.