Speeding up solving of differential matrix Riccati equations using GPGPU computing and MATLAB

In this work, we developed a parallel algorithm to speed up the resolution of differential matrix Riccati equations using a backward differentiation formula algorithm based on a fixed‐point method. The role and use of differential matrix Riccati equations is especially important in several applications such as optimal control, filtering, and estimation. In some cases, the problem could be large, and it is interesting to speed it up as much as possible. Recently, modern graphic processing units (GPUs) have been used as a way to improve performance. In this paper, we used an approach based on general‐purpose computing on graphics processing units. We used NVIDIA © GPUs with unified architecture. To do this, a special version of basic linear algebra subprograms for GPUs, called CUBLAS, and a package (three different packages were studied) to solve linear systems using GPUs have been used. Moreover, we developed a MATLAB © toolkit to use our implementation from MATLAB in such a way that if the user has a graphic card, the performance of the implementation is improved. If the user does not have such a card, the algorithm can also be run using the machine CPU. Experimental results on a NVIDIA Quadro FX 5800 are shown. Copyright © 2011 John Wiley & Sons, Ltd.     

Iterative algorithms for discrete periodic Riccati matrix equations

In this paper, two iterative algorithms are constructed to obtain the positive definite solutions of the discrete periodic algebraic Riccati matrix equations. In these two algorithms, the estimation of the unknown matrices are updated by using the available estimation information at the current iteration step. The convergence properties of the proposed algorithms are also given. Finally, numerical examples are employed to illustrate the effectiveness of the proposed algorithms.     

Iterative algorithm to compute the maximal and stabilising solutions of a general class of discrete-time Riccati-type equations

In this article an iterative method to compute the maximal solution and the stabilising solution, respectively, of a wide class of discrete-time nonlinear equations on the linear space of symmetric matrices is proposed. The class of discrete-time nonlinear equations under consideration contains, as special cases, different types of discrete-time Riccati equations involved in various control problems for discrete-time stochastic systems. This article may be viewed as an addendum of the work of Dragan and Morozan (Dragan, V. and Morozan, T. (2009), ‘A Class of Discrete Time Generalized Riccati Equations’, Journal of Difference Equations and Applications, first published on 11 December 2009 (iFirst), doi: 10.1080/10236190802389381) where necessary and sufficient conditions for the existence of the maximal solution and stabilising solution of this kind of discrete-time nonlinear equations are given. The aim of this article is to provide a procedure for numerical computation of the maximal solution and the stabilising solution, respectively, simpler than the method based on the Newton–Kantorovich algorithm.     

Differential periodic Riccati equations: Existence and uniqueness of nonnegative definite solutions

In this paper we consider the differential periodic Riccati equation. All the periodic nonnegative definite solutions are characterized in the more general case, providing a method for constructing them. The method is obtained from the study of the invariant subspaces of the monodromy matrix of the associated Hamiltonian system, and from the relations between these invariant subspaces and the controllability and unobservability subspaces. Finally, the method is applied to obtain necessary and sufficient conditions for the existence of any periodic nonnegative definite solution and to study the existence and uniqueness of minimal, maximal, stabilizing, and strong solutions.This work has been partially supported by Spanish DGICYT Grant No. PB91-O535.     

Discrete generalized algebraic Riccati equations and polynomial matrix factorization

This paper presents an algorithm for solving discrete generalized algebraic Riccati equations with the help of an orthogonal projector. A generalization of the procedure of forming and correcting the orthogonal projector is considered and also that of correcting the proper solution by the Newton-Raphson scheme. The possibility to use the discrete generalized Riccati equations for polynomial matrix factorization with respect to the unit circle is demonstrated. A numerical example is given.     

Existence and multiplicity of positive periodic solutions for a class of higher-dimension functional differential equations with impulses

This paper deals with the existence of multiple periodic solutions for n-dimensional functional differential equations with impulses. By employing the Krasnoselskii fixed point theorem, we obtain some easily verifiable sufficient criteria which extend previous results.     

On computing the stabilizing solution of a class of discrete‐time periodic Riccati equations

This paper addresses the problem of solving a class of periodic discrete‐time Riccati equation with an indefinite sign of its quadratic term. Such an equation is closely related to the so‐called full‐information H _∞ control of discrete‐time periodic systems. A globally convergent iterative algorithm with a local quadratic convergence rate is proposed for this purpose. An application to the problem of H _∞ filtering of discrete‐time periodic systems is also developed and illustrated via a numerical example. Copyright © 2013 John Wiley & Sons, Ltd.     

Periodic conjugate direction algorithm for symmetric periodic solutions of general coupled periodic matrix equations

Analysis and design of linear periodic control systems are closely related to the periodic matrix equations. The conjugate direction (CD) method is a famous iterative algorithm to find the solution to nonsymmetric linear systems $Ax=b$. In this work, a new method based on the CD method is proposed for computing the symmetric periodic solutions $(X_1,X_2,\dots ,X_{\lambda })$ and $(Y_1,Y_2,\dots ,Y_{\lambda })$ of general coupled periodic matrix equations

for $i=1,2,\dots ,\lambda$. The key idea of the scheme is to extend the CD method by means of Kronecker product and vectorization operator. In order to assess the convergence properties of the method, some theoretical results are given. Finally two numerical examples are included to illustrate the efficiency and effectiveness of the method.     

Polynomial solutions of certain differential equations

In this paper, the Chebyshev matrix method is applied generalisations of the Hermite, Laguerre, Legendre and Chebyshev differential equations which have polynomial solution. The method is based on taking the truncated Chebyshev series expansions of the functions in equation, and then substituting their matrix forms into the result equation. Thereby the given equation reduces to a matrix equation, which corresponds to a system of linear algebraic equations with unknown Chebyshev coefficients.     

矩阵方程AXB+CYD=E最佳逼近自反解的迭代算法

利用复合最速下降法的迭代算法能够求出矩阵方程[AXB+CYD=E]的最佳逼近自反解,但其收敛速度很慢。针对这一问题,提出一种利用共轭方向法的迭代算法。对于任给初始自反矩阵[X1]和[Y1],无论矩阵方程[AXB+CYD=E]是否相容,该算法都可以经过有限次迭代计算出其最佳逼近自反解。两个数值例子表明该算法是可行的,且收敛速度更快。     

Monotonicity of maximal solutions of algebraic Riccati equations

A monotonicity result for the maximal solution of the equation XBB^*X − A^*X − XA − Q = 0, Q = Q^*, (A, B) stabilizable, is proved.     

A new existence theory for positive periodic solutions to functional differential equations with impulse effects

The principle of this paper is to deal with a new existence theory for positive periodic solutions to a kind of nonautonomous functional differential equations with impulse actions at fixed moments. Easily verifiable sufficient criteria are established. The approach is based on the fixed-point theorem in cones. The paper extends some previous results and obtains some new results.     

加权范数下矩阵方程组的对称解及其最佳逼近

应用复合最速下降法,给出了求解矩阵方程组[(AXB=E,CXD=F)]加权范数下对称解及最佳逼近问题的迭代解法。对任意给定的初始矩阵,该迭代算法能够在有限步迭代计算之后得到矩阵方程组的对称解,并且在上述解集合中也可给出指定矩阵的最佳逼近矩阵。     

Convergence characterisation of an iterative algorithm for periodic Lyapunov matrix equations

This paper is concerned with convergence characterisation of an iterative algorithm for a class of reverse discrete periodic Lyapunov matrix equation associated with discrete-time linear periodic systems. Firstly, a simple necessary condition is given for this algorithm to be convergent. Then, a necessary and sufficient condition is presented for the convergence of the algorithm in terms of the roots of polynomial equations. In addition, with the aid of the necessary condition explicit expressions of the optimal parameter such that the algorithm has the fastest convergence rate are provided for two special cases. The advantage of the proposed approaches is illustrated by numerical examples.     

On the existence of maximal solution for generalized algebraic Riccati equations arising in stochastic control

Existence of maximal solution is proved for a generalized version of the well-known standard algebraic Riccati equations which arise in certain stochastic optimal control problems.     

Stable Hermitian solutions of discrete algebraic Riccati equations

Stable and Lipschitz stable hermitian solutions of the discrete algebraic Riccati equations are characterized, in the complex as well as in the real case.This paper was written while the first author visited The College of William and Mary.Partially supported by NSF Grant DMS-8802836 and by the Binational United States-Israel Science Foundation.     

Continuity properties of solutions to H2 and H∞ Riccati equations

In H₂ and H_∞ optimal control (semi-)stabilizing solutions of algebraic Riccati equations play an essential role. It is well-known that these solutions might have discontinuities as a function of the system parameters. The paper shows that these discontinuities are directly linked to non-left-invertibility and, in contrast to what one might think, unrelated to zeros on the imaginary axis.