Computational aspects of the linear quadratic tracking problem

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1974

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Abstract

A method for finding the optimal solution to the linear quadratic discrete-time tracking problem based on a Lagrangian formulation and application of the Courant extremum principle is introduced. This new method is compared with the well known method which involves the solution to the Riccati equation. A study of the computational aspects of these two methods is presented. This work is motivated by recent applications of the linear quadratic tracking problem to economic stabilization.

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