Extensions of quadratic minimization theory I. Finite time results†

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Abstract
Necessary and sufficient conditions are developed for the existence and calculation of well-defined Riccati differential equation solutions associated with quadratic loss minimization problems. Of particular interest is the fact that a. covariance condition is involved. The disclosure of this condition not only extends the range of optimal control problems for which a solution, guaranteed to be well defined, may be calculated, but also introduces an approach for establishing the existence of well-defined solutions in other problems involving covariance conditions, as for example, in a time-varying spectral factorization procedure. This paper is concerned with finite time results, whilo a companion paper considers tho infinite time case.

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