Nonnegative solutions of algebraic Riccati equations

AbstractNonnegative Hermitian solutions of various types of continuous and discrete algebraic Riccati equations are studied. The Hamiltonian is considered with respect to two different indefinite scalar products. For the set of nonnegative solutions the order structure and the topology of the set and the stability of solutions is treated. For general Hermitian solutions a method to compute the inertia is given. Although most attention is payed to the classical types arising from LQ optimal control theory, the case where the quadratic term has an indefinite coefficient is studied as well

A J-Spectral Factorization Approach to ℋ∞ Control

Necessary and sufficient conditions for the existence of suboptimal solutions to the standard model matching problem associated with ℋ∞ control, are derived using J-spectral factorization theory. The existence of solutions to the model matching problem is shown to be equivalent to the existence of solutions to two coupled J-spectral factorization problems, with the second factor providing a parametrization of all solutions to the model matching problem. The existence of the J-spectral factors is then shown to be equivalent to the existence of nonnegative definite, stabilizing solutions to two indefinite algebraic Riccati equations, allowing a state-space formula for a linear fractional representation of all controllers to be given. A virtue of the approach is that a very general class of problems may be tackled within a conceptually simple framework, and no additional auxiliary Riccati equations are required

Pick matrix conditions for sign-definite solutions of the algebraic Riccati equation

We study the existence of positive and negative semidefinite solutions of algebraic Riccati equations (ARE) corresponding to linear quadratic problems with an indefinite cost functional. The problem to formulate reasonable necessary and sufficient conditions for the existence of such solutions is a long-standing open problem. A central role is played by certain two-variable polynomial matrices associated with the ARE. Our main result characterizes all unmixed solutions of the ARE in terms of the Pick matrices associated with these two-variable polynomial matrices. As a corollary of this result we obtain that the signatures of the extremal solutions of the ARE are determined by the signatures of particular Pick matrices

Array algorithms for H-infinity estimation

In this paper we develop array algorithms for H-infinity filtering. These algorithms can be regarded as the Krein space generalizations of H-2 array algorithms, which are currently the preferred method for implementing H-2 biters, The array algorithms considered include typo main families: square-root array algorithms, which are typically numerically more stable than conventional ones, and fast array algorithms which, when the system is time-invariant, typically offer an order of magnitude reduction in the computational effort. Both have the interesting feature that one does not need to explicitly check for the positivity conditions required for the existence of H-infinity filters, as these conditions are built into the algorithms themselves. However, since H-infinity square-root algorithms predominantly use J-unitary transformations, rather than the unitary transformations required in the H-2 case, further investigation is needed to determine the numerical behavior of such algorithms

Feedback saddle point equilibria for soft-constrained zero-sum linear quadratic descriptor differential game

In this paper the feedback saddle point equilibria of soft-constrained zero-sum linear quadratic differential games for descriptor systems that have index one will be studied for a finite and infinite planning horizon. Both necessary and sufficient conditions for the existence of a feedback saddle point equilibrium are considere

A Galois correspondence between sets of semidefinite solutions of continuous-time algebraic Riccati equations

AbstractThe sets of negative semidefinite solutions Ti of two algebraic Riccati equations Ri(X)=A∗iX+XAi+XBiB∗ i−C∗iCi=(I, X)Hi(I, X)∗, i=1, 2, are compared under the hypothesis that H1⩽H2. If X+1 and X+2 are the greatest solutions in T1 and T2 respectively, then X+1⩽X+2. A more general result will be proved which allows the comparison of other solutions of T1 and T2 besides the extremal ones and which in the case of stabilizability leads to a Galois connection between T1 and T2. The comparison results are based on one hand on a decomposition of the equations Ri(X)=0 into Lyapunov matrix equations and genuine Riccati equations which induce a corresponding decomposition of the solutions in Ti, and the other hand on a parametrization of the Riccati components by Ai-invariant subspaces