Linear-Quadratic Optimal Control of Hereditary Differential Systems: Infinite Dimensional Riccati Equations and Numerical Approximations

Abstract

Recent theory of infinite dimensional Riccati equations is applied to the linear-quadratic optimal control problem for hereditary differential systems, and it is shown that, for most such problems, the operator solutions of the Riccati equations are of trace class (i.e., nuclear). With special attention to trace-norm convergence, an abstract approximation theory is developed and applied to a particular approximation scheme. Numerical examples are given. Problems on both finite and infinite time intervals are studied. For both the hereditary system and the approximating systems in the infinite time problem, characteristic equations are derived for the closed-loop eigenvalues, and formulas for the corresponding eigenvectors are given.