Journal article

A MAX-PLUS DUAL SPACE FUNDAMENTAL SOLUTION FOR A CLASS OF OPERATOR DIFFERENTIAL RICCATI EQUATIONS

Peter M Dower, William M McEneaney

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | SIAM PUBLICATIONS | Published : 2015

Abstract

A new fundamental solution semigroup for operator differential Riccati equations is developed. This fundamental solution semigroup is constructed via an auxiliary finite horizon optimal control problem whose value functional growth with respect to time horizon is determined by a particular solution of the operator differential Riccati equation of interest. By exploiting semiconvexity of this value functional, and the attendant max-plus linearity and semigroup properties of the associated dynamic programming evolution operator, a semigroup of max-plus integral operators is constructed in a dual space defined via the Legendre-Fenchel transform. It is demonstrated that this semigroup of max-plu..

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