sing Generalized Fibonacci Sequences for Solving the One-Dimensional LQR Problem and its Discrete-Time Riccati Equation

Johan Byström, Lars Petter Lystad, Per-Ole Nyman
2010 Modeling, Identification and Control  
In this article we develop a method of solving general one-dimensional Linear Quadratic Regulator (LQR) problems in optimal control theory, using a generalized form of Fibonacci numbers. We find the solution R (k) of the corresponding discrete-time Riccati equation in terms of ratios of generalized Fibonacci numbers. An explicit Binet type formula for R (k) is also found, removing the need for recursively finding the solution at a given timestep. Moreover, we show that it is also possible to
more » ... ress the feedback gain, the penalty functional and the controller state in terms of these ratios. A generalized golden ratio appears in the corresponding infinite horizon problem. Finally, we show the use of the method in a few examples.
doi:10.4173/mic.2010.1.1 fatcat:gu3f6gp7lrhfdm4zignyejf34i