Infinite-horizon linear-quadratic control with end-point state penalty term: The discrete-time case (Q1362640)

For a linear discrete-time system, an infinite-horizon quadratic optimization problem is considered with positive semi-definite cost and an extra final penalty term for the state variable. The central result shows that this problem has the same optimal value as the associated problem, where the state penalty term is required to vanish at infinity, provided only that the latter problem has finite optimal cost. The optimal cost is represented by a unique solution of the (possibly singular) algebraic Riccati equation, and if, in addition, the underlying system is left-invertible, then optimal controls are state feedback laws. The approach is fully algebraic and the proof requires a number of by-results, of interest in themselves.