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     

Numerical solution of the discrete-time periodic Riccati equation

In this paper we present a method for the computation of the periodic nonnegative definite stabilizing solution of the periodic Riccati equation. This method simultaneously triangularizes by orthogonal equivalences a sequence of matrices associated with a cyclic pencil formulation related to the Euler-Lagrange difference equations. In doing so, it is possible to extract a basis for the stable deflating subspace of the extended pencil, from which the Riccati solution is obtained. This algorithm is an extension of the standard QZ algorithm and retains its attractive features, such as quadratic convergence and small relative backward error. A method to compute the optimal feedback controller gains for linear discrete time periodic systems is dealt with     

Periodic solutions of periodic Riccati equations

For periodically time-varying matrix Riccati equations, controllability and observability (in the usual sense) are shown to be sufficient for the existence of a unique positive definite periodic solution.     

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     

Nonexistence of solutions to the Riccati equation

The Riccati equation does not necessarily give a positive definite solution when the plant has finite escape time in the time interval considered.     

On closed form solutions for the differential matrix Riccati equation problem

A new formulation of the differential matrix Riccati equation is presented and a closed analytical solution is obtained under the hypothesis that certain commutativity conditions are fulfilled on a transformed space. The formulation generalizes the results of [1] on algebraic equations to differential matrix Riccati equations. To illustrate the usefulness of the method, a closed analytical solution of the differential matrix Riccati equation is obtained inR^{2 times 2}.     

On the discrete Riccati equation

Several bounds have been reported recently for the trace of the solution to the discrete algebraic matrix Riccati equation. This note adds an alternative one to them.     

Remarks on the periodic orbits of the matrix Riccati equation

We investigate certain questions concerning the periodic structure of the matrix Riccati differential equation with constant coefficients. A closed-form expression for the periodic solutions is obtained for both the cases involving distinct or repeated eigenvalues in the associated linear hamiltonian system. Previous results are extended by establishing that periodic solutions are bounded if and only if the span of their range does not intersect the orthogonal complement of the controllable subspace of the associated linear system.     

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.     

Hermitian solutions of the discrete algebraic Riccati equation

Hermitian solutions of the discrete algebraic Riccati equation play an important role in the least-squares optimal control problem for discrete linear systems. In this paper we describe the set of hermitian solutions in various ways: in terms of factorizations of rational matrix functions which take hermitian values on the unit circle; in terms of certain invariant subspaces of a matrix which is unitary in an indefinite scalar product; and in terms of all invariant subspaces of a certain matrix. These results are inspired by known results for the algebraic Riccati equation arising in the least-squares optimal control problem for continuous linear systems.     

Discrete Riccati equation solutions: Partitioned algorithms

Using the "partitioning" approach to estimation and control, robust and fast computational algorithms for the solution of discrete Riccati equations (RE) are presented. The algorithms have a decomposed or partitioned structure that results through partitioning the total computation interval into subintervals and solving for the RE in each subinterval with zero initial conditions for each subinterval Thus, effectively, the RE solution over the whole interval has been decomposed into a set of elemental piece-wise solutions which are both simple as well as completely decoupled from each other and as such computable in either a parallel or serial processing mode. Further, the overall solution is given in terms of a simple recursive operation on the elemental solutions. The partitioned algorithms are theoretically interesting as well as computationally attractive.     

Fast Riccati equation solutions: Partitioned algorithms

In this paper, using the ‘partitioning’ approach to estimation, exceptionally robust and fast computational algorithms for the effective solution of continuous Riccati equations are presented. The algorithms have essentially a decomposed or ‘partitioned’ structure which is both theoretically interesting as well as computationally attractive. Specifically, the ‘partitioned’ solution is given exactly in terms of a set of elemental solutions which are both simple as well as completely decoupled from each other, and as such computable in either a parallel or serial processing mode. Moreover, the overall solution is given by a simple recursive operation of the elemental solution. Extensive computer simulation has shown that the ‘partitioned’ algorithm is numerically very effective and robust, especially in the case of ill-conditioned Riccati solutions, e.g. for ill-conditioned initial conditions, or for stiff system matrices. Further, the ‘partitioned’ algorithm is very fast, ranging up to several orders of magnitude faster than the corresponding Runge-Kutta algorithm.     

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 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     

On a fallacious conjecture about the stabilizability properties of solutions of the Riccati difference equation

In [1], among other results, some conjectures concerning the monotonicity and stabilizing properties of solutions of the difference Riccati equation were proven to be fallacious by means of suitable counterexamples. Moreover, a ‘possibly fallacious conjecture’ was formulated for which no counterexample had been found. In this letter, such a counterexample is provided together with an interpretation of the somewhat counterintuitive behaviour of the Riccati equation.     

On the structure of the solutions of discrete-time algebraic Riccati equation with singular closed-loop matrix

The classical discrete-time algebraic Riccati equation (DARE) is considered in the case when the corresponding closed-loop matrix is singular. It is shown that in this case all the symmetric solutions of the DARE coincide along some directions. A parametrization of the set of solutions in terms of a reduced-order DARE is then obtained. This parametrization provides an algorithm (that appears to be computationally very attractive when the multiplicity of the eigenvalue /spl lambda/=0 of the closed-loop matrix is large) for the computation of the solutions of the DARE. The same issue for the generalized DARE is also addressed.     

On the discrete time algebraic Riccati equation

A detailed account of the properties of a class of algebraic Riccati equations which arise in discrete time control and filtering problems is given. It is shown that a generalized notion of detectability plays an important role in classifying solutions of these equations. This concept is also related to a minimum phase condition.     

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.