Automatic differentiation of Sylvester, Lyapunov, and algebraic Riccati equations
University of Cambridge（剑桥大学）
英文摘要：
Sylvester, Lyapunov, and algebraic Riccati equations are the bread and butter of control theorists. They are used to compute infinite-horizon Gramians, solve optimal control problems in continuous or discrete time, and design observers. While popular numerical computing frameworks (e.g., scipy) provide efficient solvers for these equations, these solvers are still largely missing from most automatic differentiation libraries. Here, we derive the forward and reverse-mode derivatives of the solutions to all three types of equations, and showcase their application on an inverse control problem.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
