A method for solving finite-horizon optimal control of nonlinear systems has been developed in this paper and used for an online path planning problem. The new controller synthesis is motivated by the state-dependent Riccati equation (SDRE) technique that was developed for solving regulator and tracking problems. However, finite-time problems need to meet specified boundary conditions for the a...

An algorithm is presented which computes a state feedback for a standard linear system which not only stabilizes, but also dampens the closed–loop system dynamics. In other words, a feedback gain matrix is computed such that the eigenvalues of the closed–loop state matrix are within the region of the left half– plane where the magnitude of the real part of each eigenvalue is greater than that o...

Using the S.Lie’s infinitesimal approach we establish the connection between integrability of a one-parameter family of the Riccati equations and the stationary KdV hierarchy. In this paper we will suggest a method for integrating a one-parameter family of the Riccati equations ux + u 2 = f(x, λ) (1) based on their Lie symmetries. Here f(x, λ) = λ + λVn−1(x) + · · ·+ λV1(x) + V0(x) and λ is an ...

This paper is concerned with mean-variance portfolio selection problems in continuoustime under the constraint that short-selling of stocks is prohibited. The problem is formulated as a stochastic optimal linear-quadratic (LQ) control problem. However, this LQ problem is not a conventional one in that the control (portfolio) is constrained to take nonnegative values due to the no-shorting restr...

We consider Magnus integrators to solve linear-quadratic N-player differential games. These problems require to solve, backward in time, non-autonomous matrix Riccati differential equations which are coupled with the linear differential equations for the dynamic state of the game, to be integrated forward in time. We analyze different Magnus integratorswhich can provide either analytical or num...

In this paper, we are concerned with seeking exact solutions for fractional differential-difference equations by an extended Riccati sub-ODE method. The fractional derivative is defined in the sense of the modified Riemann-liouville derivative. By a combination of this method and a fractional complex transformation, the iterative relations from indices n to n ± 1 are established. As for applica...

This contribution addresses the development of a Linear Quadratic Regulator (LQR) for a set of time-varying hyperbolic PDEs coupled with a set of time-varying ODEs through the boundary. The approach is based on an infinitedimensional Hilbert state-space realization of the system and operator Riccati equation (ORE). In order to solve the optimal control problem, the ORE is converted to a set of ...

This paper presents a new analysis of power complementary filters using the state-space representation. Our analysis is based on the bounded-real Riccati equations that were developed in the field of control theory. Through this new state-space analysis of power complementary filters, we prove that the sum of the controllability/observability Gramians of a pair of power complementary filters is...

Numerically reliable algorithms to compute the periodic non-negative definite stabilizing solutions of the periodic differential Riccati equation (PRDE) and discrete-time periodic Riccati equation (DPRE) are proposed. For the numerical solution of PRDEs, a new multiple shooting-type algorithm is developed to compute the periodic solutions in an arbitrary number of time moments within one period...

In this present study analytical method based on Riccati Equation as for converting the Nonlinear Lakshmanan-Porsezian-Daniel (LPD) equation into the nonlinear ODE and finding soliton solutions of this sustem discused. Obtaining solutions are new and obtained from wave transformation. The obtained results show that the presented method is effective and appropriate for solving nonlinear differen...