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. Keywords: Linear quadratic optimal control, indefinite cost, large horizon, Riccati equation.
Original languageEnglish
Place of PublicationEindhoven
PublisherTechnische Universiteit Eindhoven
Number of pages11
Publication statusPublished - 1988

Publication series

NameMemorandum COSOR
Volume8825
ISSN (Print)0926-4493

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