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.
|Title of host publication||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)|
|Place of Publication||Basel|
|Publication status||Published - 1990|
|Name||Progress in Systems and Control Theory|