The value-function of an infinite-horizon linear-quadratic problem

被引：14

作者：

Blot, J

Michel, P

机构：

[1] Univ Paris 01, CERMSEM, MSE, F-75634 Paris 13, France

[2] Univ Aix Marseille 2, GREQAM, Ctr Vieille Charite, F-13002 Marseille, France

[3] Inst Univ France, F-13002 Marseille, France

来源：

APPLIED MATHEMATICS LETTERS | 2003年 / 16卷 / 01期

关键词：

discrete-time control; infinite-horizon control; Riccati equation; fixed point;

D O I：

10.1016/S0893-9659(02)00146-5

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

For a discrete-time infinite-horizon linear-quadratic optimal control problem, under the assumption of the nonemptyness of the set of the admissible processes, we prove the existence and the uniqueness of an optimal process, we prove that the value-function is a quadratic function of the initial state, and we characterize the matrix of this quadratic value-function among the solutions of an algebraic Riccati equation by using a fixed-point theorem. (C) 2002 Elsevier Science Ltd. All rights reserved.

引用

页码：71 / 78

页数：8