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.?4BA')-# .;<?

N
X
I= (xT (k)Q1 x(k) + uT (k)Q2 u(k)), u(N ) = 0
k=0
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k...N
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u(k) = −L(k)x(k)
JkN (x(k)) = xT (k)S(k)x(k)
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L(k) S(k) L(k)
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(p × n) (n × n)
u&*! ."!\‰\;<!}1!}4M ?4" .:B3/
?,.=>;CF#"$')M6" .=>=GB1
S(k)
F#"$*$*!;C')?[I~"$')= j."!:<;C"

JkN (x(k)) = min[H(x(k), u(k)) + Jk+1

N
(x(k + 1))]
u(k)

u>‰\;<:<:K;<?4* "!&!}4V.)*$*!#=GB„ˆH,.)B3" .!;CG F#"$*$*!;C')?Im"$')=.-u'jX GI~')" N (x(k + 1)) 

Jk+1
. ?4B„*$j."$$}
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u? (k) N Jk (x(k))

JkN (x(k)) = min[xT (k)Q1 x(k) + uT (k)Q2 u(k) + xT (k + 1)S(k + 1)x(k + 1)]
u(k)

= min[xT (k)Q1 x(k) + uT (k)Q2 u(k) +

u(k)

(Φx(k) + Γu(k))T S(k + 1)(Φx(k) + Γu(k))]

XW
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\
S
k
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JkN (x) = min[xT Q1 x + uT Q2 u + (Φx + Γu)T S(k + 1)(Φx + Γu)]

u

rS ®Q
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u
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∂JkN (x)
= Q2 u + QT2 u + 2ΓT S(k + 1)(Φx + Γu)
∂u
= 2Q2 u + 2ΓT S(k + 1)(Φx + Γu) = 0
NI ;C* ;<?X "!!;<-#:C !}#;C*j.? -O‚*$'):<X B $' M6;<X ‚!}4©')F#!;<=V.:')?H!"$'):&*!;<M6?,.:
Q [Q + ΓT S(k + 1)Γ]
m"$Äc ?H2$"!;<?#M[."!M6#=G?H
k
R

u? (k) = −[Q2 + ΓT S(k + 1)Γ]−1 ΓT S(k + 1)Φx(k)

|p}#;C*(X).:<4S'I M6;<X *(!}4f=>;<?#;<=V.:9Fu"_I~')"!=V.?4>.?4B‚‰—Sj.?‚?4'j‰ ;CB#?H!; I~/1!}4¦F#"$')Fu')"!!;C')?,.:<;< /
u
=V.!"!; ­
L(k)

L(k) = [Q2 + ΓT S(k + 1)Γ]−1 ΓT S(k + 1)Φ

u‰\;<:<:‹?4'ω ;<?4*$"!
u? = −Lx
;<?[!}4‡ F#"$*$*$;C')?[I~')"
JkN (x)
.?4BA')-# .;<?­

JkN (x) = xT Q1 x + (−Lx)T Q2 (−Lx) + (Φx − ΓLx)T S(k + 1)(Φx − ΓLx)

= xT [Q1 + LT Q2 L + (Φ − ΓL)T S(k + 1)(Φ − ΓL)]x
= xT S(k)x
u\},.jX ˜!}H4*Iƒ')#?4B>!},. J N (x(k)) ;C*Kˆ,.)B3" .!;C˜;<? x(k) Qm‰—W.)* *!#=GB>!},. J N (x(k + 1)) ‰L.)*
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JN (x(N )) = xT QN x
­
S(k)

S(k) = Q1 + LT (k)Q2 L(k) + (Φ − ΓL(k))T S(k + 1)(Φ − ΓL(k))

+ "$')= !}#;C*K F#"$* *!;C')?G;<K=V.j/f-u\*$?G!},.—*!;<?4
# )S
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S(k) L(k)

S(k) = Q1 + LT Q2 L + (Φ − ΓL)T S(k + 1)(Φ − ΓL)

= Q1 + LT Q2 L + (ΦT − LT ΓT )S(k + 1)(Φ − ΓL)

= Q1 + LT [Q2 + ΓT S(k + 1)Γ]L + ΦT S(k + 1)Φ − ΦT S(k + 1)ΓL

−LT ΓT S(k + 1)Φ

= Q1 + ΦT S(k + 1)Γ[Q2 + ΓT S(k + 1)Γ]−1 [Q2 + ΓT S(k + 1)Γ] . . .

[Q2 + ΓT S(k + 1)Γ]−1 ΓT S(k + 1)Φ +
ΦT S(k + 1)Φ − ΦT S(k + 1)Γ[Q2 + ΓT S(k + 1)Γ]−1 ΓT S(k + 1)Φ −
ΦT S(k + 1)Γ[Q2 + ΓT S(k + 1)Γ]−1 ΓT S(k + 1)Φ

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S(k) = Q1 + ΦT S(k + 1)Φ − ΦT S(k + 1)Γ[Q2 + ΓT S(k + 1)Γ]−1 ΓT S(k + 1)Φ

” "

S(k) = Q1 + ΦT S(k + 1)[Φ − ΓL(k)]

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u&')?4*!;CB#"x!}4E:<;<?4j."WB3;C*$"$$!;<=G62,B3/?,.=>;Cj.:*$/
*!$=

x(k + 1) = Φx(k) + Γu(k)

.?4B[!}4ˆ,.)B3" .!;C&Fu"_I~')"!=V.?4Im#?4!;C')?

N
X −1
I= (xT (k)Q1 x(k) + uT (k)Q2 u(k)) + xT (N )QN x(N )
k=0
‰\}4"$
Q1
.?4B
QN
)S
Fu'6*!;<!;<X *$=>;CB# 4?#;<$f.?4B
Q2
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T ?A')F#!;<=V.:;<?#F##x*$ˆ4?4j.?A-u(I~')#?4BA-H/u­

u? (k) = −L(k)x(k)
‰\;<!}

L(k) = [Q2 + ΓT S(k + 1)Γ]−1 ΓT S(k + 1)Φ

.?4B

S(k) = Q1 + LT (k)Q2 L(k) + (Φ − ΓL(k))T S(k + 1)(Φ − ΓL(k))

= Q1 + ΦT S(k + 1)Φ − ΦT S(k + 1)Γ[Q2 + ΓT S(k + 1)Γ]−1 ΓT S(k + 1)Φ
= Q1 + ΦT S(k + 1)[Φ − ΓL(k)]
‰\;<!}
S(N ) = QN
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J0N (x(0)) = xT (0)S(0)x(0)

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S(0)
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S(k) = S(k + 1) = S
T :<M -#" .;C&–˜;Cj.!;@ˆH,.!;C')?
NP\;C*\;<=>FO')"! .?x$'S?4')$6­

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• [0; N ]
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U ("$
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• u(k) = −L(0)x(k)
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6† ] k := N
03†
`3 äº oº
S(k) = QN
†  
k := k − 1
L(k) = [Q2 + ΓT S(k + 1)Γ]−1 ΓT S(k + 1)Φ
S(k) = Q1 + LT (k)Q2 L(k) + (Φ − ΓL(k))S(k + 1)(Φ − ΓL(k))
= Q1 + ΦT S(k + 1)Φ − ΦT S(k + 1)Γ[Q2 + ΓT S(k + 1)Γ]−1 ΓT S(k + 1)Φ
= Q1 + ΦT S(k + 1)[Φ − ΓL(k)]

b4† k=0
U(*$(!}4:<;<?4j."\IƒB3-,.)$Y
d3† u(k) = −L(0)x(k)
|p}4&')-# .;<?4B[Fu"_Iƒ')"!=V.?4EIm#?4!;C')?¤‰\;<:<:‹-O
J0N (x(0)) = xT (0)S(0)x(0)
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©¯™Eˆ†_Œ)«‰3 ˆ Š 
Ù ˆo– ˆ Š‹ˆ †l寫\ˆr‰0Žn‰) ˆ)

x(k + 1) = ax(k) + bu(k)

Ü «\ˆhŠ‹ˆ)–¯”3“l–0˜†™}Œ0ˆf©­‰r¥%©"!ˆ¶µ ˆ¤”3“– ˆ
N
X −1
I= (x2 (k) + qu2 (k)) + x2 (N )
k=0
Ù ˆfŒ3« “n‰’ˆ
N =2 “ §V« †l³nˆ‚”3“l–o¯«¬©­‰q‰)Ž‰3 ˆ) â
Φ = a # Γ = b # Q 1 = 1 # Q2 = q “§ Q = 1 
£ ŒŒ “–Ú©—™ §‡“V¯«‹ˆf†l¥ §_“l–0©¤¯«¬ƒª‚ˆfŒ †¥XŒ ‘ N¥T†_ ˆ©—™Ì¯«\ˆ“–Ú¬ˆ)–o¥%©—‰) ˆÚ

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S(2) = 1
ab
L(1) = [q + b2 ]−1 ab =
q + b2
ab a2
S(1) = 1 + a(a − b ) = 1 + q
q + b2 q + b2
a 2 a2
L(0) = [q + b2 [1 + q ] −1
ab(1 + q )
q + b2 q + b2
a 2
ab(1 + q q+b 2)
= a 2
q + b2 (1 + q q+b 2)

a 2
a2 ab(1 + q q+b 2)
S(0) = 1 + a(1 + q )(a − b )
q + b2 a2
q + b2 (1 + q q+b 2)
2
a2 (1 + q q+b
a
2)
= 1+q a 2
q + b2 (1 + q q+b 2)

Ü «\ˆf“0Š¤©¯˜†¥¦Œ “™²¤–“¥¯¥Xˆ3–®¥X“j“$!&©¯™c§ 2 ’‰ †sŠ}¥Xˆ)‰f†n«\ˆ†_Úpª-©¯¥—¥"µˆ

u(k) = −L(0)x(k) # ª-©¯¯«

a 2
ab(1 + q q+b 2)
L(0) = a 2
q + b2 (1 + q q+b 2)

%
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2
a2 (1 + q q+b
a
2)
J02 (x(0)) = 1 + q a 2 x2 (0)
q + b2 (1 + q q+b 2)

&
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Œ †¥XŒ ‘ ¥T†_ ˆä¯«\ˆ˜“0Š¤©—˜†¥ÀŒ “™}¤–^“¥¯¥ ˆ)– # ªO«\ˆ)™vª‚ˆqŠ ‘ y¯«\ˆV¤©—Vˆ
« “–)©—‰3“™Ì‡“˜©¯™jÛÀ™²©¯¤Ž # N = ∞ 

L(k) = [Q2 + ΓT S(k + 1)Γ]−1 ΓT S(k + 1)Φ

S(k) = Q1 + ΦT S(k + 1)Φ − ΦT S(k + 1)Γ[Q2 + ΓT S(k + 1)Γ]−1 ΓT S(k + 1)Φ

ªO«¬©¤¯«t¯«‹ˆhŠ‹†–^†l˜ˆ’ ˆ)–‰f©—™Ì¯«¬©—‰oˆ笆sŠ}¥Xˆ¯«‹ˆ0‰’ˆ¶ˆÝ ‘ †l¤©¨“™‹‰†lÕ“ ‘ ™²¯‰o‡“

ab S(k + 1)
L(k) =
q + b2 S(k + 1)
a2 b2 S 2 (k + 1)
S(k) = 1 + a2 S(k + 1) −
q + b2 S(k + 1)
)
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â
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a2 b2 S 2
S = 1 + a2 S − m
q + b2 S
b2 + qa2 − q q
0 = S2 − S− 2
b2 b

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