@book{b6429eb28efc4192ac4fccd692109bd0,

title = "Convergence properties of indefinite linear quadratic problems with receding horizon",

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.",

author = "H.L. Trentelman and J.M. Soethoudt",

year = "1988",

language = "English",

series = "Memorandum COSOR",

publisher = "Technische Universiteit Eindhoven",

}