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The value-function of an infinite-horizon linear-quadratic problem

✍ Scribed by J. Blot; P. Michel

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
381 KB
Volume
16
Category
Article
ISSN
0893-9659

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✦ Synopsis

For a discrete-time infinite-horizon linear-quadratic optimal control problem, under the assumption of the nonemptyness of the set of the admissible processes, we prove the existence and the uniqueness of an optimal process, we prove that the value-function is a quadratic function of the initial state, and we characterize the matrix of this quadratic value-function among the solutions of an algebraic Riccati equation by using a fixed-point theorem. (~) 2002 Elsevier Science Ltd. All rights reserved.

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