The Autonomous Linear Quadratic Control Problem

This book considers the state of the art in theory and numerical solution of general autonomous linear quadratic optimal control problems (continuous and discrete) with differential algebraic equation constraints. It incorporates developments in differential algebraic equations, Riccati equations and invariant subspace problems. In particular, it gives a decision chart of numerical methods, that can be used to determine the right numerical method according to special properties of the problem. The book tries to close a gap between mathematical theory, numerical solution and engineering application. The mathematical tools are kept as basic as possible in order to address the different groups of possible readers including mathematicians and engineers.