Extensions of quadratic minimization theory II. Infinite time results
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Anderson, B. D.O.
Moore, J. B.
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Necessary and sufficient conditions are developed for the existence and calculation of well-defined Riccati differential equation solutions associated with infinite time quadratic loss minimisation problems. The significance of the results is that they not only extend optimal control theory but also have application in a number of areas other than optimal cantrol, e.g. stability theory and time-varying spectral factorization theory.
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International Journal of Control
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