The role of the generalised continuous algebraic Riccati equation in impulse-free continuous-time singular LQ optimal control

摘要

In this paper the role that the continuous-time generalised Riccati equation plays within the context of singular linear-quadratic optimal control is analysed. To date, the importance of the continuous-time generalised Riccati equation in the context of optimal control has not been understood. This note addresses this point. We show in particular that when the continuous-time (constrained) generalised Riccati equation admits a symmetric solution, the corresponding linear-quadratic (LQ) problem admits an impulse-free optimal control.