Coupled Intervals in the Discrete Optimal Control
The authors deal with linear Hamiltonian difference system \[ \Delta \eta_k=A_k\eta_{k+1}+B_kq_k, \;\Delta q_k=C_k\eta_{k+1}-A^T_kq_k, \;k\in[0,N]\cap\mathbb{Z} \tag{H} \] with general boundary condition \(\mathcal{M}\binom{\eta_0}{\eta_{N+1}}=0\) and the corresponding discrete quadratic functional \[ \mathcal{I}(\eta,q)=\binom{\eta_0}{\eta_{N+1}}^T \Gamma\binom{\eta_0}{\eta_{N+1}}+ \sum_{k=0}^N\left\{\eta_{k+1}^TC_k\eta_{k+1}+q_k^TB_kq_k\right\}, \] where the \(n\times n\)-matrices \(B_k\),\(C_k\), and the \(2n\times 2n\)-matrices \(\mathcal{M}\), \(\Gamma\) are symmetric and the matrix \(I-A_k\) is supposed to be nonsingular. The authors introduce the new concept of coupled interval which is shown to contain as a particular case the conjugate interval notion known for the fixed right endpoint case and the coupled interval notion known in the discrete calculus of variations [cf. \textit{R.~Hilscher} and \textit{V.~Zeidan}, J. Math. Anal. Appl. 276, No. 1, 396--421 (2002; Zbl 1032.49038)]. Necessary and sufficient conditions for the nonnegativity and positivity of the functional \({\mathcal I}\) are established in terms of the nonexistence of such coupled intervals. The authors also obtain a large number of theorems that contain different types of equivalent conditions for the nonnegativity and positivity of the functional \({\mathcal I}\) in terms of the conjugate intervals, a conjoined basis of (H), and the solvability of an implicit Riccati equation.
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