On the discrete time matrix Riccati equation of optimal control†
- 1 November 1970
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 12 (5) , 785-794
- https://doi.org/10.1080/00207177008931892
Abstract
This paper is concerned with the discrete time matrix Riccati equation. The properties established are those of minimality, convergence, uniqueness and stability. Further the convergence of the policy space approximation technique is proved. These results are analogous to those known for the continuous-time Riccati equation, but the techniques used are simpler.Keywords
This publication has 2 references indexed in Scilit:
- On a Matrix Riccati Equation of Stochastic ControlSIAM Journal on Control, 1968
- New Results in Linear Filtering and Prediction TheoryJournal of Basic Engineering, 1961