Abstract
The numerical treatment of linear quadratic regulator (LQR), linear quadratic Gaussian (LQG) design and stochastic control problems of certain type require solving Riccati equations. In the finite time horizon case, the Riccati differential equation (RDE) arises. We show that within a Galerkin projection framework the solutions of the finite-dimensional RDEs converge in the strong operator topology to the solutions of the infinite-dimensional RDEs. A discussion about LQG design in the context of receding horizon control for nonlinear problems as well as a brief discussion about stochastic control is also addressed. Numerical experiments validate the proposed convergence result.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
