Lecture Notes on Linear Quadratic Control Version of 02-07-2010 J. Frédéric Bonnans
نویسنده
چکیده
1. Unconstrained finite horizon linear quadratic problem 2 1.1. Critical points of quadratic functionals 2 1.2. Shooting function and Hamiltonian flow 6 1.3. Riccati equation 8 1.4. Expression of the critical value 9 1.5. Legendre forms and minima of quadratic functions 9 1.6. Spectral analysis 12 2. Infinite horizon problems 13 2.1. Setting 13 2.2. Kalman state space theory 13 2.3. The algebraic Riccati equation 18 2.4. Computation of the solution of the ARE 21 2.5. Illustration 22 3. Notes 23 References 24 Index 25
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