A Riccati approach to equality constrained Linear Quadratic Optimal control

A Riccati based approach is proposed to solve Linear Quadratic Optimal control problems subject to linear equality path constraints including mixed state-control and state-only constraints. The proposed algorithm requires computations that scale linearly with the horizon length. It can be used as the key sub-problem to build effective iterative methodologies that tackle general inequality constrained and nonlinear optimal control problems.