On linear-quadratic optimal control of implicit difference equations

DOI10.1093/IMAMCI/DNY007MaRDI QIDQ5162687zbMATH OpenOpenAlexFDO

Authors Daniel Bankmann, Matthias Voigt

Publication date 5 November 2021

Published in IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.01217

zbMATH Keywords

discrete-time systemsimplicit difference equationsKalman-Yakubovich-Popov lemmaLur'e equationoptimal controlpalindromic matrix pencilsquasi-Hermitian matricesRiccati equations

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Controllability (93B05) Discrete-time control/observation systems (93C55) Asymptotic stability in control theory (93D20)

Abstract: In this work we investigate explicit and implicit difference equations and the corresponding infinite time horizon linear-quadratic optimal control problem. We derive conditions for feasibility of the optimal control problem as well as existence and uniqueness of optimal controls under certain weaker assumptions compared to the standard approaches in the literature which are using algebraic Riccati equations. To this end, we introduce and analyze a discrete-time Lur'e equation and a corresponding Kalman-Yakubovich-Popov inequality. We show that solvability of the Kalman-Yakubovich-Popov inequality can be characterized via the spectral structure of a certain palindromic matrix pencil. The deflating subspaces of this pencil are finally used to construct solutions of the Lur'e equation. The results of this work are transferred from the continuous-time case. However, many additional technical difficulties arise in this context.

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