A comparison theorem for matrix Riccati difference equations

DOI10.1016/0167-6911(92)90118-CzbMath0774.49023OpenAlexW2105438504MaRDI QIDQ1195839

Michele Pavon, Harald K. Wimmer

Publication date: 4 January 1993

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(92)90118-c

zbMATH Keywords

Riccati equationsdifference equationsmonotonicity of solutionsassociated Hermitian matricesdiscrete-time \(LQ\) optimal control

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Linear-quadratic optimal control problems (49N10)

Related Items (8)

A Note on Riccati Matrix Difference Equations ⋮ Generalized Riccati difference and differential equations ⋮ Convergence and existence results for continuous- and discrete-time Riccati equations ⋮ Linear-quadratic switching control with switching cost ⋮ State estimation with probability constraints ⋮ Existence and comparison theorems for algebraic Riccati equations and Riccati differential and difference equations ⋮ Properties of the solutions of rational matrix difference equations ⋮ Time-varying discrete Riccati equation: Some monotonicity results

Cites Work

• Monotonicity and stabilizability properties of solutions of the Riccati difference equation: Propositions, lemmas, theorems, fallacious conjectures and counterexamples
• Disconjugacy
• Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems
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