Existence conditions and properties for the maximal periodic solution of periodic Riccati difference equations

The existence and properties of the maximal symmetric periodic solution of the periodic Riccati difference equation, is analysed for the optimal filtering problem of linear periodic discrete-time systems. Special emphasis is given to systems not necessarily reversible and subject only to a detectability assumption. Necessary and sufficient conditions for the existence and uniqueness of periodic non-negative definite solutions of the periodic Riccati difference equation which gives rise to a stable filter are also established. Furthermore, the convergence of non-negative definite solutions of the Riccati equation is investigated.     

Riccati differential equation in optimal filtering of periodic non-stabilizable systems

This paper discusses the periodic solutions of the matrix Riccati differential equation in the optimal filtering of periodic systems. Special emphasis is given to non-stabilizable systems and the question addressed is the existence and uniqueness of a steady-state periodic non-negative definite solution of the periodic Riccati differential equation which gives rise to an asymptotically stable steady-state filter. The results presented show that the stabilizability is not a necessary condition for the existence of such a periodic solution. The convergence of the general solution of the periodic Riccati differential equation to a periodic equilibrium solution is also investigated. The results are extensions of existing time-invariant systems results to the case of periodic systems     

具不定二次项的一般代数RICCATI方程解的存在性问题

讨论具有不定二次项的一般代数RICCATI方程(GARE)的实对称镇定解的存在性问题,利用GARE相应的微分方程解的性质,建立了GARE实对称镇定解存在性的充分条件.     

Cyclomonotonicity and stabilizability properties of solutions ofthe difference periodic Riccati equation

The Kalman filter associated with a discrete-time linear T-periodic system is tested. The problem considered is that of selecting an initial covariance matrix such that the periodic filter based on the first T values of the Kalman filter gain is stabilizing. Sufficient conditions are given that hinge on the cyclomonotonicity of the solution of the periodic Riccati equation. Potential applications are found in filter design, quasi-linearization techniques for the periodic Riccati equation, and the design of receding-horizon control strategies for periodic and multirate systems. When specialized to time-invariant systems, the results give rise to new sufficient conditions for the cyclomonotonicity of the solutions of the time-invariant Riccati equation and the existence of periodic stabilizing feedback     

Asymptotic behaviour of the solution of the projection Riccatidifferential equation

The solution of the Riccati differential equation (RDE) is shown to be asymptotically close to the solution of the projection Riccati differential equation (PRDE). The asymptotic behaviour of the latter is analyzed in an explicit formula. The almost-periodic asymptote of the solution of the PRDE is computed by an algorithm based upon the concepts of an aperiodic/almost-periodic generator (APG) decomposition of a linear map and unit row-staircase form of a polynomial matrix. The analysis ultimately provides a convergence criterion. In particular, it is shown that the solution of the PRDE always converges in the aperiodic case     

On the existence of solutions of the general algebraic Riccati equation

This paper addresses the problem of real symmetric solutions of the general algebraic Riccati equation (GARE) with an indefinite quadratic term. The GARE arises in linear quadratic differential games, in the stabilization of uncertain systems, robust optimal control and disturbance attenuation problems. Using the properties of the solutions of the differential equation corresponding to the GARE and the related conclusions of differential games, we have established the main results of this paper. Theorems 1 and 2     

A miscellany of results of an equation of Count J. F. Riccati

A collection of results on the Riccati equation is presented. The questions addressed are the existence of strong solutions of the algebraic Riccati equation and the convergence of solutions of the Riccati difference equation to those of the algebraic equation. The results derived utilize detestability conditions only.     

Criterion for the convergence of the solution of the Riccati differential equation

The optimal control problem for a linear system with a quadratic cost function leads to the matrix Riccati differential equation. The convergence of the solution of this equation for increasing time interval is investigated as a function of the final state penalty matrix. A necessary and sufficient condition for convergence is derived for stabilizable systems, even if the output in the cost function is not detectable. An algorithm is developed to determine the limiting value of the solution, which is one of the symmetric positive semidefinite solutions of the algebraic Riccati equation. Examples for convergence and nonconvergence are given. A discussion is also included of the convergence properties of the solution of the Riccati differential equation to any real symmetric (not necessarily positive semidefinite) solution of the algebraic Riccati equation.     

The difference periodic Ricati equation for the periodic predictionproblem

Gives a comprehensive treatment of several important aspects of the discrete-time periodic Riccati equation (DPRE) arising from the prediction problem for linear discrete-time periodic systems. The authors analyze the symmetric periodic positive semidefinite (SPPS) solution of the DPRE under appropriate assumptions of stabilizability and detectability of the periodic system. Among the results obtained are necessary and sufficient conditions for the existence and uniqueness of the SPPS solution and the stability of the resulting closed-loop system. Some of these results can be seen as extensions of the corresponding results for the time-invariant case; however, a number of them contain contributions to the time-invariant case as well. The paper also gives a numerical algorithm based on an iterative linearization procedure for computing the SPPS solution. The algorithm is a periodic version of Kleinman's algorithm for the time-invariant case     

Boundary problems and periodic Riccati equations

We consider the resolution problem of a periodic Riccati equation from the point of view of a generalized boundary problem that lets us reduce the differential problem to an algebraic equation of Riccati type. Sufficient conditions for the existence and calculus of special types of solutions are given.     

Existence and uniqueness of open-loop Nash equilibria in linear-quadratic discrete time games

We present existence and uniqueness results for an equilibrium in an M-person Nash game with quadratic performance criteria and a linear difference equation as constraint, describing the system dynamics under an open-loop information pattern. The approach used is the construction of a value function which leads to existence assertions in terms of solvability of certain symmetric and nonsymmetric Riccati difference equations.     

Robust stabilization of linear systems with norm-bounded time-varying uncertainty

In this paper, robust stabilization of a class of linear systems with norm-bounded time-varying uncertainties is considered. It is shown that for this class of uncertain systems quadratic stabilizability via linear control is equivalent to the existence of a positive definite symmetric matrix solution to a (parameter-dependent) Riccati equation. Also, a construction for the stabilizing feedback law is given in terms of the solution to the Riccati equation.     

A note on the maximal solution of the periodic Riccati equation

The periodic symmetric solutions of the periodic Riccati differential equation associated with the filtering problem are considered by the authors. It is proven that, under the sole assumption of detectability, there exists a maximal solution. Moreover, such a solution turns out to be strong, i.e. the characteristic multipliers of the associated closed-loop system belong to the closed unit disk. The proof relies on an iterative linearization technique, which calls for a sequence of periodic Lyapunov equations. Similar results are given for the minimal solution     

Riccati equations in optimal filtering of nonstabilizable systems having singular state transition matrices

Until recently, it was believed that a necessary and sufficient condition for convergence of the Riccati difference equation of optimal filtering was that the system be both delectable and stabilizable. Recently, it has been shown that the stabilizability condition can be removed but convergence has only established under restrictive assumptions including the requirement that the state transition matrix be nonsingular. The present paper generalizes these results in several directions. First, properties of the algebraic Riccati equation are established for the case of singular state transition matrix. Second, several assumptions previously imposed in establishing convergence of the Riccati difference equation for systems with unreachable modes on the unit circle are relaxed including replacing observability by detectability, weakening the conditions on the initial covariance, and allowing the state transition matrix to be singular. Third, results on the convergence and properties of the Riccati equations are expressed as both necessary and sufficient conditions, whereas previous results were only sufficient. These extensions mean that the results have wider applicability, including fixed-lag smoothing problems and filtering for systems with time delays. The implications of the results in the dual problem of optimal control are also studied.     

Properties of the solutions of rational matrix difference equations

We prove a comparison theorem for the solutions of a rational matrix difference equation, generalizing the Riccati difference equation, and existence and convergence results for the solutions of this equation. Moreover, we present conditions ensuring that the corresponding algebraic matrix equation has a stabilizing or almost stabilizing solution.     

Dampening controllers via a Riccati equation approach

An algorithm is presented which computes a state feedback for a standard linear system which not only stabilizes, but also dampens the closed-loop system dynamics. In other words, a feedback gain matrix is computed such that the eigenvalues of the closed-loop state matrix are within the region of the left half-plane where the magnitude of the real part of each eigenvalue is greater than that of the imaginary part, This may be accomplished by solving a damped algebraic Riccati equation and a degenerate Riccati equation. The solution to these equations are computed using numerically robust algorithms, Damped Riccati equations are unusual in that they may be formulated as an invariant subspace problem of a related periodic Hamiltonian system. This periodic Hamiltonian system induces two damped Riccati equations: one with a symmetric solution and another with a skew symmetric solution. These two solutions result in two different state feedbacks, both of which dampen the system dynamics, but produce different closed-loop eigenvalues, thus giving the controller designer greater freedom in choosing a desired feedback     

线性时滞系统的无源控制

研究一类线性时滞系统通过线性无记忆状态反馈控制律的无源控制问题。通过某个Ｒｉｃｃａｔｉ矩阵方程对称正定解的存在性,给出了使得闭环系统严格无源的控制器存在条件。进而,利用这个方程的正定解给出了无源化控制器的一个构造方法。     

在镇定理论中控制系统与具有滞后的控制系统的等价性

本文由勒卡提矩阵方程与勒卡提矩阵微分方程的正定对称解构造了正定二次型函数,给出了在镇定理论中定常及时变线性控制系统与具有滞后的定常及时变线性控制系统的等价性。同时给出了滞后界限的估计公式。     

Controllability, stabilizability, and matrix Riccati equations for periodic systems

In this note, controllability, stabilizahility, and related concepts for periodically time-varying systems are discussed. Especially, it is proved that the definition of controllability employed in connection with the existence of periodic solutions of periodic matrix Riccati equations is equivalent to Kalman's original definition.     

Fake algebraic Riccati techniques and stability

Conditions, sufficient and necessary, for monotonic behavior of the solutions of the Riccati differential equation and Riccati difference equation are derived. For the optimal filtering (respectively, control) equation these results are derived without the usual requirement of detectability (respectively, stabilizability). The monotonic behavior allows proof of stabilizing properties of the solutions, subject only to requirements on the initial conditions