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.     

The algebraic Riccati equation — A polynomial approach

Polynomial models are used to give a unified approach to the problem of classifying the set of all real symmetric solutions of the algebraic Riccati equation.     

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.     

Algebraic Riccati equation and J-spectral factorization for estimation

In this paper we investigate on the existence of the stabilizing solution of the algebraic Riccati equation (ARE) related to the filtering problem with a prescribed attenuation level γ. It is well known that such a solution exists and is positive definite for γ larger than a certain γ_F and it does not exist for γ smaller than a certain γ₀. We consider the intermediate case γ(γ₀,γ_F] and show that in this interval the stabilizing solution does exist, except for a finite number of values of γ. We show how the solution of the ARE may be employed to obtain a minimum-phase J-spectral factor of the J-spectrum associated with the filtering problem.     

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     

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.     

New matrix bounds,an existence uniqueness and a fixed-point iterative algorithm for the solution of the unified coupled algebraic Riccati equation

In this paper, combining the equivalent form of the unified coupled algebraic Riccati equation (UCARE) with the eigenvalue inequalities of a matrix's sum and product, using the properties of an M-matrix and its inverse matrix, we offer new lower and upper matrix bounds for the solution of the UCARE. Furthermore, applying the derived lower and upper matrix bounds and a fixed-point theorem, an existence uniqueness condition of the solution of the UCARE is proposed. Then, we propose a new fixed-point iterative algorithm for the solution of the UCARE. Finally, we present a corresponding numerical example to demonstrate the effectiveness of our results.     

Necessary and sufficient conditions for existence of J-spectral factorization for para-Hermitian rational matrix functions

For a para-Hermitian rational matrix function G(λ)=J+C(λI_p−A)⁻¹B, where J=J∗ is invertible, and which has no poles and zeros on the imaginary line, we give necessary and sufficient conditions in terms of A,B,C and J for the existence of a J-spectral factorization, as well as an algorithm to obtain the J-spectral factor in case it exists.     

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 .     

The limiting form of the continuous algebraic Riccati equation

In this paper solution-preserving transformations of algebraic Riccati equations are examined. As an illustrative example we deal with the limiting cost of the linear-quadratic cheap control problem.     

A revised Kleinman algorithm to solve algebraic Riccati equation of singularly perturbed systems

In this paper, we show that the Kleinman algorithm can be used well to solve the algebraic Riccati equation (ARE) of singularly perturbed systems, where the quadratic term of the ARE may be indefinite. The quadratic convergence property of the Kleinman algorithm is proved by using the Newton-Kantorovich theorem when the initial condition is chosen appropriately. In addition, the numerical method to solve the generalized algebraic Lyapunov equation (GALE) appearing in the Kleinman algorithm is given.     

Bounds for the eigenvalues of the solution of the unified algebraic Riccati matrix equation

In recent years, several eigenvalues bounds have been investigated separately for the solutions of the continuous and the discrete Riccati and Lyapunov matrix equations. In this paper, lower bounds for the eigenvalues of the solution of the unified Riccati equation (relatively to continuous and discrete cases), are presented. In the limiting cases, the results reduce to some new bounds for both the continuous and discrete Riccati equation.     

Algorithm for solving algebraic Riccati equation which has singular Hamiltonian matrix

The algorithm of construction of the solution of ARE, with Hamiltonian matrix having zero eigenvalues, is developed. The algorithm generalizes the Schur method on ARE with singular Hamiltonian matrix and could be used for J-factorization of matrix polynomial, which has zero roots.     

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.     

A class of marked invariant subspaces with an application to algebraic Riccati equations

Invariant subspaces of a matrix A are considered which are obtained by truncation of a Jordan basis of a generalized eigenspace of A. We characterize those subspaces which are independent of the choice of the Jordan basis. An application to Hamilton matrices and algebraic Riccati equations is given.     

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.     

Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems

In this paper, we deal with a perturbed algebraic Riccati equation in an infinite dimensional Banach space. Besides the interest in its own right, this class of equations appears, for instance, in the optimal control problem for infinite Markov jump linear systems (from now on iMJLS). Here, infinite or finite has to do with the state space of the Markov chain being infinite countable or finite (see Fragoso and Baczynski in SIAM J Control Optim 40(1):270–297, 2001). By using a certain concept of stochastic stability (a sort of L ₂-stability), we prove the existence (and uniqueness) of maximal solution for this class of equation and provide a tool to compute this solution recursively, based on an initial stabilizing controller. When we recast the problem in the finite setting (finite state space of the Markov chain), we recover the result of de Souza and Fragoso (Syst Control Lett 14:233–239, 1999) set to the Markovian jump scenario, now free from an inconvenient technical hypothesis used there, originally introduced in Wonham in (SIAM J Control 6(4):681–697). Research supported by grants CNPq 520367-97-9, 300662/2003-3 and 474653/2003-0, FAPERJ 171384/2002, PRONEX and IM-AGIMB.     

Closed-form solution for a class of continuous-time algebraic Riccati equations

In the present paper we obtain a closed-form solution for a class of continuous-time algebraic Riccati equations (AREs) with vanishing state weight. The ARE in such a class solves a minimum energy control problem. The obtained closed-form solution is used to prove a link between two independent fundamental limitation results in control over networks.