Max-plus representation for the fundamental solution of the time-varying differential Riccati equation

DOI10.1016/J.AUTOMATICA.2011.05.009zbMATH Open1225.49033arXiv0903.0405OpenAlexW2962904116WikidataQ115360113 ScholiaQ115360113MaRDI QIDQ642912FDOQ642912

Ameet S. Deshpande

Publication date: 27 October 2011

Published in: Automatica (Search for Journal in Brave)

Abstract: Using the tools of optimal control, semiconvex duality and maxp algebra, this work derives a unifying representation of the solution for the matrix differential Riccati equation (DRE) with time-varying coefficients. It is based upon a special case of the maxp fundamental solution, first proposed in cite{FlemMac}. Such fundamental solution can extend a special solution of certain bivariate DRE into the general solution, and can analytically solve the DRE starting from any initial condition. This paper also shows that under a fixed duality kernel, the semiconvex dual of a DRE solution satisfies another dual DRE, whose coefficients satisfy the matrix compatibility conditions involving Hamiltonian and certain symplectic matrices. For the time invariant DRE, this allows us to make dual DRE linear and thereby solve the primal DRE analytically. This paper also derives various kernel/duality relationships between the primal and time shifted dual DREs, which leads to an array of DRE solutions. Time invariant analogue of one of these methods was first proposed in cite{Funda}.

Full work available at URL: https://arxiv.org/abs/0903.0405

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zbMATH Keywords

dynamic programmingnumerical methodstime-varying systemsmatrix Riccati equationslinear optimal control

Mathematics Subject Classification ID

Control problems involving ordinary differential equations (34H05) Duality theory (optimization) (49N15)

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Cited In (4)

• MAX-plus fundamental solution semigroups for a class of difference Riccati equations
• Optimal control applications and methods literature survey (No. 27)
• Neural network architectures using min-plus algebra for solving certain high-dimensional optimal control problems and Hamilton-Jacobi PDEs
• A solution for the cooperative formation-tracking problem in a network of completely unknown nonlinear dynamic systems without relative position information

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