Numerical experiments in linear control theory using generalized equations

Numerical investigations of the relative efficiency of Riccati versus non-Riccati based approaches to the determination of optimal feedback gains for linear dynamics-quadratic cost control processes over a finite interval are presented. The non-Riccati algorithms used are the so-called generalized functions [1] or Chandrasekhar-type [2] algorithms. The results of the experiments show that the generalized approach has significant computational advantages over the usual Riccati equation and, in many cases, the computational gain exceeds rough estimates based solely upon a count of the number of equations to be integrated.