Automatica, Vol.50, No.4, 1176-1180, 2014
The generalized continuous algebraic Riccati equation and impulse-free continuous-time LQ optimal control
The purpose of this paper is to investigate the role that the so-called constrained generalized Riccati equation plays within the context of continuous-time singular linear-quadratic (LQ) optimal control. This equation has been defined following the analogy with the discrete-time setting. However, while in the discrete-time case the connections between this equation and the linear-quadratic optimal control problem has been thoroughly investigated, to date very little is known on these connections in the continuous-time setting. This note addresses this point. We show, in particular, that when the continuous-time constrained generalized Riccati equation admits a solution, the corresponding linear-quadratic problem admits an impulse-free optimal control. We also address the corresponding infinite-horizon LQ problem for which we establish a similar result under the additional constraint that there exists a control input for which the cost index is finite. (C) 2014 Elsevier Ltd. All rights reserved.