An existence and monotonicity theorem for the discrete algebraic matrix Riccati equation
- 1 April 1987
- journal article
- research article
- Published by Taylor & Francis in Linear and Multilinear Algebra
- Vol. 20 (4) , 353-361
- https://doi.org/10.1080/03081088708817768
Abstract
Maximal hermitian solutions of the discrete algebraic matrix Riccati equation play an important role in least squares optimal control problems for discrete linear systems. We prove an existence and comparison theorem concerning maximal hermitian solutions. This theorem is inspired by known results for the algebraic Riccati equation arising in the least squares optimal control problem in continuous linear systems.Keywords
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