Algebraic Riccati equation

An algebraic Riccati equation is a type of nonlinear equation that arises in the context of infinite-horizon optimal control problems in continuous time or discrete time. A typical algebraic Riccati equation is similar to one of the following: the continuous time algebraic Riccati equation (CARE): or the discrete time algebraic Riccati equation (DARE): P is the unknown n by n symmetric matrix and A, B, Q, R are known real coefficient matrices. Though generally this equation can have many solutions, it is usually specified that we want to obtain the unique stabilizing solution, if such a solution exists. The name Riccati is given to these equations because of their relation to the Riccati differential equation. Indeed, the CARE is verified by the time invariant solutions of the associated matrix valued Riccati differential equation. As for the DARE, it is verified by the time invariant solutions of the matrix valued Riccati difference equation (which is the analogue of the Riccati differential equation in the context of discrete time LQR). In infinite-horizon optimal control problems, one cares about the value of some variable of interest arbitrarily far into the future, and one must optimally choose a value of a controlled variable right now, knowing that one will also behave optimally at all times in the future. The optimal current values of the problem's control variables at any time can be found using the solution of the Riccati equation and the current observations on evolving state variables. With multiple state variables and multiple control variables, the Riccati equation will be a matrix equation. The algebraic Riccati equation determines the solution of the infinite-horizon time-invariant Linear-Quadratic Regulator problem (LQR) as well as that of the infinite horizon time-invariant Linear-Quadratic-Gaussian control problem (LQG). These are two of the most fundamental problems in control theory.