Explicit Solution for a Class of Discrete‐Time Algebraic Riccati Equations

In the present paper we obtain an explicit closed‐form solution for the discrete‐time algebraic Riccati equation (DTARE) with vanishing state weight, whenever the unstable eigenvalues are distinct. We discuss links to current algorithmic solutions and observe that the AREs in such a class solve on one hand the infimal signal‐to‐noise ratio (SNR) problem, whilst on the other hand, in their dual form they solve a Kalman filter problem. We then extend the main result to an example case of the optimal linear quadratic regulator gain. We relax some of the assumptions behind the main result and conclude with possible future directions for the present work.