Abstract
The main theme of this Chapter will be the connections between various Riccati equations and the closed loop stability of control schemes based on Linear Quadratic (LQ) optimal methods for control and estimation. Our presentation will encompass methods applicable both for discrete time and continuous time, and so we discuss concurrently the difference equations (discrete time) and the differential equations (continuous time) — the intellectual machinery necessary for the one suffices for the other and so it makes sense to dispense with both cases in one fell swoop.
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Bitmead, R.R., Gevers, M. (1991). Riccati Difference and Differential Equations: Convergence, Monotonicity and Stability. In: Bittanti, S., Laub, A.J., Willems, J.C. (eds) The Riccati Equation. Communications and Control Engineering Series. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-58223-3_10
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DOI: https://doi.org/10.1007/978-3-642-58223-3_10
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