Minimum energy for linear systems with finite horizon: a non-standard Riccati equation

This paper deals with a non-standard infinite dimensional linear quadratic control problem arising in the physics of non-stationary states (see, for example, Bertini et al. J Statist Phys 116: 831-841, 2004): finding the minimum energy to drive a fixed stationary state (x) over bar =0 into an arbitrary non-stationary state x. The Riccati equation (RE) associated with this problem is not standard since the sign of the linear part is opposite to the usual one, thus preventing the use of the known theory. Here we consider the finite horizon case when the leading semigroup is exponentially stable. We prove that the linear selfadjoint operator P(t), associated with the value function, solves the above-mentioned RE (Theorem 4.12). Uniqueness does not hold in general, but we are able to prove a partial uniqueness result in the class of invertible operators (Theorem 4.13). In the special case where the involved operators commute, a more detailed analysis of the set of solutions is given (Theorems 4.14, 4.15 and 4.16). Examples of applications are given.