Existence and uniqueness of unmixed solutions of the discrete-time algebraic Riccati equation

A solution X of a discrete-time algebraic Riccati equation is called unmixed if the corresponding closed-loop matrix Φ(X) has the property that the common roots of det(sI−Φ(X)) and det(I−sΦ(X)^*) (if any) are on the unit circle. A necessary and sufficient condition is given for existence and uniqueness of an unmixed solution such that the eigenvalues of Φ(X) lie in a prescribed subset of .     

Strong solutions of the discrete-time algebraic Riccati equation

Conditions are given under which a solution of the DARE is positive semidefinite if and only if all the eigenvalues of its associated closed-loop matrix are in the closed unit disc.     

Existence of unmixed solutions of the discrete-time algebraic Riccati equation and a nonstrictly bounded real lemma

The existence of a solution of the discrete-time algebraic Riccati equation is established assuming modulus controllability and positive semidefiniteness on the unit circle of the Popov function. As an application a nonstrictly bounded real lemma is obtained.     

The dual algebraic Riccati equations and the set of all solutions of the discrete-time Riccati equation

In this paper, two new pairs of dual continuous-time algebraic Riccati equations (CAREs) and dual discrete-time algebraic Riccati equations (DAREs) are proposed. The dual DAREs are first studied with some nonsingularity assumptions on the system matrix and the parameter matrix. Then, in the case of singular matrices, a generalised inverse is introduced to deal with the dual DARE problem. These dual AREs can easily lead us to an iterative procedure for finding the anti-stabilising solutions, especially to DARE, by means of that for the stabilising solutions. Furthermore, we provide the counterpart results on the set of all solutions to DARE inspired by the results for CARE. Two examples are presented to illustrate the theoretical results.     

Solving the infinite-dimensional discrete-time algebraic riccati equation using the extended symplectic pencil

In this paper we present results about the algebraic Riccati equation (ARE) and a weaker version of the ARE, the algebraic Riccati system (ARS), for infinite-dimensional, discrete-time systems. We introduce an operator pencil, associated with these equations, the so-called extended symplectic pencil (ESP). We present a general form for all linear bounded solutions of the ARS in terms of the deflating subspaces of the ESP. This relation is analogous to the results of the Hamiltonian approach for the continuous-time ARE and to the symplectic pencil approach for the finite-dimensional discrete-time ARE. In particular, we show that there is a one-to-one relation between deflating subspaces with a special structure and the solutions of the ARS. Using the relation between the solutions of the ARS and the deflating subspaces of the ESP, we give characterizations of self-adjoint, nonnegative, and stabilizing solutions. In addition we give criteria for the discrete-time, infinite-dimensional ARE to have a maximal self-adjoint solution. Furthermore, we consider under which conditions a solution of the ARS satisfies the ARE as well.     

Isolated nonnegative solutions of infinite-dimensional algebraic Riccati equations

For an infinite-dimensional continuous (or discrete)-time linear system, based on the study of the representation of nonnegative solutions of the algebraic Riccati equation (ARE), we get some sufficient and necessary conditions for a nonnegative solution of (ARE) to be isolated in the set of all nonnegative solution of (ARE) with respect to the norm topology, the strong operator topology and weak operator topology, respectively.     

Bounds for the eigenvalues of the continuous algebraic Riccati equation

By using singular value decomposition and majorisation inequalities, we propose new upper and lower bounds for summations of eigenvalues (including the trace) of the solution of the continuous algebraic Riccati equation. These bounds improve and extend some of the previous results. Finally, we give corresponding numerical examples to illustrate the effectiveness of our results.     

A numerical solution of the stochastic discrete algebraic Riccati equation

This article proposes two algorithms for solving a stochastic discrete algebraic Riccati equation which arises in a stochastic optimal control problem for a discrete-time system. Our algorithms are generalized versions of Hewer’s algorithm. Algorithm I has quadratic convergence, but needs to solve a sequence of extended Lyapunov equations. On the other hand, Algorithm II only needs solutions of standard Lyapunov equations which can be solved easily, but it has a linear convergence. By a numerical example, we shall show that Algorithm I is superior to Algorithm II in cases of large dimensions. This work was presented in part at the 13th International Symposium on Artificial Life and Robotics, Oita, Japan, January 31–February 2, 2008     

Upper solution bounds of the continuous coupled algebraic Riccati matrix equation

In this article, by using some matrix identities, we construct the equivalent form of the continuous coupled algebraic Riccati equation (CCARE). Further, with the aid of the eigenvalue inequalities of matrix's product, by solving the linear inequalities utilising the properties of M-matrix and its inverse matrix, new upper matrix bounds for the solutions of the CCARE are established, which improve and extend some of the recent results. Finally, a corresponding numerical example is proposed to illustrate the effectiveness of the derived results.     

On positive definite solutions to the algebraic Riccati equation

Complete necessary and sufficient conditions for the existence of a positive definite solution to the algebraic Riccati equation are given. It is also shown that when a positive definite solution exists, it is either unique, or else there are uncountably many such solutions.     

New matrix bounds and iterative algorithms for the discrete coupled algebraic Riccati equation

The discrete coupled algebraic Riccati equation (DCARE) has wide applications in control theory and linear system. In general, for the DCARE, one discusses every term of the coupled term, respectively. In this paper, we consider the coupled term as a whole, which is different from the recent results. When applying eigenvalue inequalities to discuss the coupled term, our method has less error. In terms of the properties of special matrices and eigenvalue inequalities, we propose several upper and lower matrix bounds for the solution of DCARE. Further, we discuss the iterative algorithms for the solution of the DCARE. In the fixed point iterative algorithms, the scope of Lipschitz factor is wider than the recent results. Finally, we offer corresponding numerical examples to illustrate the effectiveness of the derived results.     

The generalized continuous algebraic Riccati equation and impulse-free continuous-time LQ optimal control

The purpose of this paper is to investigate the role that the so-called constrained generalized Riccati equation plays within the context of continuous-time singular linear–quadratic (LQ) optimal control. This equation has been defined following the analogy with the discrete-time setting. However, while in the discrete-time case the connections between this equation and the linear–quadratic optimal control problem has been thoroughly investigated, to date very little is known on these connections in the continuous-time setting. This note addresses this point. We show, in particular, that when the continuous-time constrained generalized Riccati equation admits a solution, the corresponding linear–quadratic problem admits an impulse-free optimal control. We also address the corresponding infinite-horizon LQ problem for which we establish a similar result under the additional constraint that there exists a control input for which the cost index is finite.     

Novel insights on the stabilising solution to the continuous-time algebraic Riccati equation

In the present paper we present a closed-form solution, as a function of the closed-loop poles, for the continuous-time algebraic Riccati equations (CAREs) related to single-input single-output systems with non-repeated poles. The proposed solution trades the standard numerical algorithm approach for one based on a spectral factorisation argument, offering potential insight into any control technique based on a CARE and its solution. As an example, we present the equivalence of two fairly recent control over network results. Furthermore we apply the proposed result to the formula for the optimal regulator gain matrix k (or equivalently the Luenberger's observer gain l) and present an example. Finally, we conclude by discussing the possible extension of the proposed closed-form solution to the repeated eigenvalues case and to the case when the CARE is related to multiple-input multiple-output systems.     

The existence uniqueness and the fixed iterative algorithm of the solution for the discrete coupled algebraic Riccati equation

In this article, applying the properties of M-matrix and non-negative matrix, utilising eigenvalue inequalities of matrix's sum and product, we firstly develop new upper and lower matrix bounds of the solution for discrete coupled algebraic Riccati equation (DCARE). Secondly, we discuss the solution existence uniqueness condition of the DCARE using the developed upper and lower matrix bounds and a fixed point theorem. Thirdly, a new fixed iterative algorithm of the solution for the DCARE is shown. Finally, the corresponding numerical examples are given to illustrate the effectiveness of the developed results.     

On upper bounds for the unified algebraic Riccati equation

In recent years, several eigenvalues, norms and determinants bounds have been investigated separately for the solutions of continuous and discrete Riccati equations. In this paper, an upper bound for solution of the unified Riccati equation is presented. In the limiting cases, the result reduces to a new upper bound for the solution of continuous and discrete Riccati equation.     

离散时间代数Riccati方程解矩阵的特征值分析

针对离散时间代数Riccati方程DTARE的唯一对称正定解X的特征值,通过矩阵的恒等变形,给出了一种新的分析方法.最后获得解X的极值特征值的上界和下界,以及解X的特征值的和———迹的一个下界.     

Curvature properties of the algebraic Riccati equation

We prove that the solution to the algebraic Ricatti equation (ARE) is concave with respect to a nonnegative-definite symmetric state weighting matrix Q when the input weighting matrix R = R^T > 0. We also prove that the solution to the ARE is concave with respect to a positive-definite diagonal input weighting matrix R when Q = Q^T ≥ 0.     

Stability radius for structured perturbations and the algebraic Riccati equation

In this paper we generalize the notion of stability radius introduced in [1] to allow for structured perturbations. We then relate the stability radius to the existence of Hermitian solutions of an algebraic Riccati equation and give some applications of this result.     

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.     

Minimal square spectral factors

Recently there has been renewed interest in the problem of spectral factorization and in particular, the problem of parametrizing all square minimal spectral factors of a given spectrum. For instance, let us mention two recent papers in this journal, one of which dealing with more computational aspects of this problem (Clements, 1993), the other giving a parametrization under additional constraints (Ferrante et al., 1993). This paper is motivated in a large part by (Ferrante et al., 1993), in fact we shall show that a parametrization similar to the one given there can be achieved without one of the additional constraints imposed in (Ferrante et al., 1993). A secondary aim of this paper is to give an overview of several parametrizations available in the literature.