The extended symplectic pencil and the finite-horizon LQ problem with two-sided boundary conditions

Abstract: This note introduces a new analytic approach to the solution of a very general class of finite-horizon optimal control problems formulated for discrete-time systems. This approach provides a parametric expression for the optimal control sequences, as well as the corresponding optimal state trajectories, by exploiting a new decomposition of the so-called extended symplectic pencil. Importantly, the results established in this paper hold under assumptions that are weaker than the ones considered in the literature so far. Indeed, this approach does not require neither the regularity of the symplectic pencil, nor the modulus controllability of the underlying system. In the development of the approach presented in this paper, several ancillary results of independent interest on generalised Riccati equations and on the eigenstructure of the extended symplectic pencil will also be presented.