Title :
Solving the Matrix Differential Riccati Equation: A Lyapunov Equation Approach
Author :
Thang Nguyen ; Gajic, Z.
Author_Institution :
Dept. of Electr. Eng., Rutgers Univ., Piscataway, NJ, USA
Abstract :
In this technical note, we investigate a solution of the matrix differential Riccati equation that plays an important role in the linear quadratic optimal control problem. Unlike many methods in the literature, the approach that we propose employs the negative definite anti-stabilizing solution of the matrix algebraic Riccati equation and the solution of the matrix differential Lyapunov equation. An illustrative numerical example is provided to show the efficiency of our approach.
Keywords :
Lyapunov matrix equations; Riccati equations; differential equations; linear quadratic control; linear quadratic optimal control problem; matrix differential Lyapunov equation; matrix differential Riccati equation; negative definite antistabilizing solution; Control systems; Differential algebraic equations; Differential equations; Feedback; Matrices; Nonlinear equations; Optimal control; Riccati equations; Transforms; Vectors; Algebraic Riccati equation; differential Lyapunov equation; differential Riccati equation; optimal control;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2009.2033841
