TITLE:
Matrix Riccati Equations in Optimal Control
AUTHORS:
Malick Ndiaye
KEYWORDS:
Optimal Control, Matrix Riccati Equation, Change of Variable
JOURNAL NAME:
Applied Mathematics,
Vol.15 No.3,
March
29,
2024
ABSTRACT: In this paper, the matrix Riccati equation is considered. There is no general way for solving the matrix Riccati equation despite the many fields to which it applies. While scalar Riccati equation has been studied thoroughly, matrix Riccati equation of which scalar Riccati equations is a particular case, is much less investigated. This article proposes a change of variable that allows to find explicit solution of the Matrix Riccati equation. We then apply this solution to Optimal Control.