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math.DS2013
The generalised continuous algebraic Riccati equation and impulse-free continuous-time LQ optimal control
Augusto Ferrante, Lorenzo Ntogramatzidis
The purpose of this paper is to investigate the role that the continuous-time generalised Riccati equation plays within the context of singular linear-quadratic optimal control. Th…
math.DS2013
A reduction technique for Generalised Riccati Difference Equations
Augusto Ferrante, Lorenzo Ntogramatzidis
This paper proposes a reduction technique for the generalised Riccati difference equation arising in optimal control and optimal filtering. This technique relies on a study on the…