Papers › A Generalization of the Riccati Recursion for Equality-Constrained Linear Quadratic...
A Generalization of the Riccati Recursion for Equality-Constrained Linear Quadratic Optimal Control
Lander Vanroye, Joris De Schutter, Wilm Decré
The archive published only this paper's code-link row. Authors, date and abstract are from arXiv's metadata (CC0), read from the Kaggle arXiv metadata snapshot of 2026-09-12 where its title matched the archive's; the title is the archive's.
This paper introduces a generalization of the well-known Riccati recursion for solving the discrete-time equality-constrained linear quadratic optimal control problem. The recursion can be used to compute the solutions as well as optimal feedback control policies. Unlike other tailored approaches for this problem class, the proposed method does not require restrictive regularity conditions on the problem. This allows its use in nonlinear optimal control problem solvers that use exact Lagrangian Hessian information. We demonstrate that our approach can be implemented in a highly efficient algorithm that scales linearly with the horizon length. Numerical tests show a significant speed-up of up to two orders of magnitude with respect to state-of-the-art general-purpose sparse linear solvers. Based on the proposed approach, faster nonlinear optimal control problem solvers can be developed that are suitable for more complex applications or for implementations on low-cost or low-power computational platforms. The implementation of the proposed algorithm is made available as open-source software.
Code
Repository list and official/mentioned flags are the archive's, frozen 2025-07-28. Reachability, where shown, is from one Syntology probe window (2026-09-16 to 2026-09-18); repositories not probed show nothing. GitHub stars are not tracked.
Code Syntology ran Syntology
Not run by Syntology. Nothing on this page verifies that the listed code works.
Results from the paper archive 2025-07-28
No leaderboard rows for this paper in the archive.
Report a problem or propose a change · a person checks every report against the paper or source before anything changes; decisions are listed on /corrections