离散系统Riccati方程的线性方程组解法

An Approach Via Soluting Linear Equations for Discrete Systems Riccati Equation

本文考虑离散系统最优控制及滤波与估计理论中非常有用的Riccati非线性矩阵方程的解法。在Hamilton矩阵的特征值已求得(它亦可通过闭环系统特征值(极点配置)给出),可通过线性代数方程组来解。它是连续系统LQP问题的Riccati方程解法的推广。

A solution to the Riccati nonlinear matrix equations for discrete systems in the optimal control and the filtering theory is cosidered. When the characteristic values of the Hamilto matrix have been found, the solutions for discrete systems Riccati equation can be turn into soluting linear matrix equation. It is an extension of soluting Riccati equation for continuous systems LQ problem.