TECHNICAL NOTE A Noniterative Algebraic Solution for Riccati Equations Satisfying Two-Point Boundary-Value Problems I
Hon M. Chun, James D. Turner · 1986
A noniterative algebraic method is presented for solving differential Riccati equations which satisfy two-point boundary-value problems. This class of numerical problems arises in quadratic optimi- zation problems where the cost functionals are composed of both continuous and discrete state penalties, leading to piecewise periodic feedback gains. The necessary condition defining the solution for the two-point boundary value problem ~s cast in the form of a discrete-time algebraic Riccati equation, by using a formal representation for the solution of the differential Riccati equation. A numerical example is presented which demonstrates the validity of the approach.