Convergence properties of indefinite linear quadratic problems with receding horizon

H.L. Trentelman, J.M. Soethoudt

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Abstract

In this paper we study the following question: given a finite dimensional linear system together with a finite horizon (possibly indefinite) quadratic cost functional, when does the corresponding optimal cost converge to the optimal cost of the corresponding infinite horizon problem, as the length of the horizon tends to infinity? For the case that the linear quadratic problems are regular we establish necessary and sufficient conditions for this convergence to hold.
Original languageEnglish
Title of host publicationRobust Control of Linear Systems and Nonlinear Control (Proceedings of the International Symposium on Mathematical Theory of Networks and Systems, MTNS-89, Amsterdam, The Netherlands, June 19-23, 1989)
EditorsM.A. Kaashoek
Place of PublicationBasel
PublisherBirkhäuser Verlag
Pages189-196
Volume2
ISBN (Print)978-1-4612-8839-8
DOIs
Publication statusPublished - 1990

Publication series

NameProgress in Systems and Control Theory
Volume4

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Trentelman, H. L., & Soethoudt, J. M. (1990). Convergence properties of indefinite linear quadratic problems with receding horizon. In M. A. Kaashoek (Ed.), Robust Control of Linear Systems and Nonlinear Control (Proceedings of the International Symposium on Mathematical Theory of Networks and Systems, MTNS-89, Amsterdam, The Netherlands, June 19-23, 1989) (Vol. 2, pp. 189-196). (Progress in Systems and Control Theory; Vol. 4). Basel: Birkhäuser Verlag. https://doi.org/10.1007/978-1-4612-4484-4_16