Hello there,

I have a problem on optimal control theory which has to do with the Riccati Equation:

where are symmetric.

The problem asks to show that the solution matrix of the Riccati equation is positive-semidefinite given that .

- Jun 27th 2010, 02:36 AMrusselOptimal Control Theory: About the Riccati Dfiferential Equation
Hello there,

I have a problem on optimal control theory which has to do with the Riccati Equation:

where are symmetric.

The problem asks to show that the solution matrix of the Riccati equation is positive-semidefinite given that . - Jun 28th 2010, 11:22 AMInvisibleMan
Can you tell me what does semdefinite means in this context?

I know what positive definite matrix means. - Jun 28th 2010, 01:04 PMrussel
A positive-semidefinite matrix is a matrix positive one but also with the equality. That is, .