On the exponential convergence of the time-invariant matrix Riccati differential equation
Frank M. Callier, Joseph J. Winkin, JACQUES L. WILLEMS · 2005
The exponential nature of the convergence of the solution of the time-invariant matrix Riccati differential equation toward the stabilizing solution of the algebraic Riccati equation is displayed on an explicit formula. It is assumed that the system is stabilizable and the Hamiltonian matrix has no eigenvalues on the imaginary axis. Computable characteristics are given which can be used to estimate how well a large finite horizon linear-quadratic (LQ) problem is approximated by an infinite horizon LQ problem.>