Solution for the Continuous-Time Infinite-Horizon Linear Quadratic Regulator Subject to Scalar State Constraints

• Published in: IEEE control systems letters Vol. 4; no. 1; pp. 133 - 138
• Main Author: van Keulen, Thijs
• Format: Journal Article
• Language: English
• Published: IEEE 01.01.2020
• Subjects: Boundary conditions; Eigenvalues and eigenfunctions; Optimal control; predictive control for linear systems; Regulators; Trajectory

This letter provides a solution for the continuous-time linear quadratic regulator (LQR) subject to a scalar state constraint. Using a dichotomy transformation, novel properties for the finite-horizon LQR are derived; the unknown boundary conditions are explicitly expressed as a function of the hori...