A computational solution for a Matrix Riccati differential equation

Summary This paper is concerned with the solution of the finite time Riccati equation. The solution to the Riccati equation is given in terms of the partition of the transition matrix. Matrix differential equations for the partition of the transition matrix are derived and are solved using computational methods. Examples illustrating the method are presented and the computational algorithms are given.     

Delta算子Riccati方程研究的新结果

基于Delta算子描述，统一研究连续时间代数Riccati方程(CARE)和离散时间代数Riccati方程(DARE)的定界估计问题，提出了统一代数Riccati方程(UARE)解矩阵的上下界，给出UARE中P与R和Q的几个基本关系．     

On the Minimal Nonnegative Solution of Nonsymmetric Algebraic Riccati Equation

We study perturbation bound and structured condition number about the minimal nonnegative solution of nonsymmetric algebraic Riccati equation, obtaining a sharp perturbation bound and an accurate condition number. By using the matrix sign function method we present a new method for finding the minimal nonnegative solution of this algebraic Riccati equation. Based on this new method, we show how to compute the desired M-matrix solution of the quadratic matrix equation X^2 - EX - F = 0 by connecting it with the nonsymmetric algebraic Riccati equation, where E is a diagonal matrix and F is an M-matrix.     

Critical lengths by numerical integration of the associated Riccati equation to singularity

Bounds are obtained for the critical length (escape time) associated with a solution of a matrix Riccati equation. The bounds are computationally practical in the sense that the quantities appearing can be computed in terms of a known value of the solution at any point. It is suggested that these bounds will frequently allow practical estimation of the accuracy in determining a critical length by integrating the Riccati equation to “blowup”. Practical aspects of such an application are discussed, and two examples are given.     

一类Riccati矩阵方程广义自反解的双迭代算法

本文研究了一类Riccati矩阵方程广义自反解的数值计算问题.利用牛顿算法将Riccati矩阵方程的广义自反解问题转化为线性矩阵方程的广义自反解或者广义自反最小二乘解问题,再利用修正共轭梯度法计算后一问题,获得了求Riccati矩阵方程的广义自反解的双迭代算法.拓宽了求解非线性矩阵方程的迭代算法.数值算例表明双迭代算法是有效的.     

ON THE MINIMAL NONNEGATIVE SOLUTION OF ONSYMMETRIC ALGEBRAIC RICCATI EQUATION

We study perturbation bound and structured condition number about the minimalnonnegative solution of nonsymmetric algebraic Riccati equation,obtaining a sharp per-turbation bound and an accurate condition number.By using the matrix sign functionmethod we present a new method for finding the minimal nonnegative solution of this al-gebraic Riccati equation.Based on this new method,we show how to compute the desiredM-matrix solution of the quadratic matrix equation X~2-EX-F=0 by connecting itwith the nonsymmetric algebraic Riccati equation,where E is a diagonal matrix and F isan M-matrix.     

Exact slow-fast decomposition of the singularly perturbed matrix differential Riccati equation

In this paper the Hamiltonian matrix formulation of the Riccati equation is used to derive the reduced-order pure-slow and pure-fast matrix differential Riccati equations of singularly perturbed systems. These pure-slow and pure-fast matrix differential Riccati equations are obtained by decoupling the singularly perturbed matrix differential Riccati equation of dimension n₁+n₂ into the pure-slow regular matrix differential Riccati equation of dimension n₁ and the pure-fast stiff matrix differential Riccati equation of dimension n₂. A formula is derived that produces the solution of the original singularly perturbed matrix differential Riccati equation in terms of solutions of the pure-slow and pure-fast reduced-order matrix differential Riccati equations and solutions of two reduced-order initial value problems. In addition to its theoretical importance, the main result of this paper can also be used to implement optimal filtering and control schemes for singularly perturbed linear time-invariant systems independently in pure-slow and pure-fast time scales.     

Error bounds for numerical solutions of ordinary differential equations

Summary An a posteriori error bound, for an approximate solution of a system of ordinary differential equations, is derived as the solution of a Riccati equation. The coefficients of the Riccati equation depend on an eigenvalue of a matrix related to a Jacobian matrix, on a Lipschitz constant for the Jacobian matrix, and on the approximation defect. An upper bound is computable as the formal solution of a sequence of Riccati equations with constant coefficients. This upper bound may sometimes be used to control step length in a numerical method.     

二次自伴矩阵多项式阵特征值界的数值计算

在参数不确定性线性系统的鲁棒控制研究中,常用到的一个指标就是使不确定性系统在输出反馈或状态反馈控制下的闭环系统在H∞-范数界γ的条件下的二次稳定.是否二次稳定,一般要验证能否找到一个正常数,ε使相应的R iccati方程有正定解.而R iccati方程一般情况下求解相当困难.本文通过具体的分析,提出了一种在给定正定矩阵的条件下,找使此正定阵是R iccati方程的解相对应的正常数ε的可能范围的方法,即求解二次自伴矩阵多项式阵特征值界的方法.文中详细给出了所用理论及算法.给出了求正常数ε范围的一个实例.     

Analysis of the second order matrix Riccati equations

This paper is concerned with periodic solutions of 2x2 autonomous matrix Riccati differential equations. The author had given a necessary and sufficient condition for periodicity of solutions of matrix Riccati differential equations of general type and some examples. However, it is not so simple to verify whether this condition is satisfied or not. So this paper simplifies the verification by restricting to special cases. In particular, we show that there may exist periodic solutions for any case where the coefficient matrix of the linear part of the equation has complex eigenvalues if we choose an initial value suitably. Many examples having a periodic solution are also shown by systematic analysis; such examples are seldom seen in the literature.     

The Non–symmetric Discrete Algebraic Riccati Equation and Canonical Factorization of Rational Matrix Functions on the Unit Circle

Canonical factorization of a rational matrix function on the unit circle is described explicitly in terms of a stabilizing solution of a discrete algebraic Riccati equation using a special state space representation of the symbol. The corresponding Riccati difference equation is also discussed.     

The Bezoutian and the algebraic Riccati equation

The classical Bezoutian is a square matrix which counts the common zeros of two polynomials in the complex plane. The usual proofs of this property are based on connections between the Bezoutian and the Sylvester resultant matrix. These proofs do not make transparent the nature of the Bezoutian as a finite dimensional operator. This paper establishes that the Bezoutian is a solution of a suitable operator Riccati equation which makes evident the connections between the Bezoutian as an operator and the common zeros of polynomials. One application to the inversion of block Hankel (Toeplitz) matrices is given. Brief discussions of other Bezoutian operators are included. Apparently, even in the classical case the connection between the Bezoutian and the Riccati equation has not been studied previously.     

The Bezoutian and the algebraic Riccati equation

The classical Bezoutian is a square matrix which counts the common zeros of two polynomials in the complex plane. The usual proofs of this property are based on connections between the Bezoutian and the Sylvester resultant matrix. These proofs do not make transparent the nature of the Bezoutian as a finite dimensional operator. This paper establishes that the Bezoutian is a solution of a suitable operator Riccati equation which makes evident the connections between the Bezoutian as an operator and the common zeros of polynomials. One application to the inversion of block Hankel (Toeplitz) matrices is given. Brief discussions of other Bezoutian operators are included. Apparently, even in the classical case the connection between the Bezoutian and the Riccati equation has not been studied previously.     

Stability of Riccati's Equation with Random Stationary Coefficients

The purpose of this paper is to study under weak conditions of stabilizability and detectability, the asymptotic behavior of the matrix Riccati equation which arises in stochastic control and filtering with random stationary coefficients. We prove the existence of a stationary solution of this Riccati equation. This solution is attracting, in the sense that if P _t is another solution, then onverges to 0 exponentially fast as t tends to +∞ , at a rate given by the smallest positive Lyapunov exponent of the associated Hamiltonian matrices. Accepted 13 January 1998     

Accessibility of the matrix Riccati differential equation

A known result on the classification of transitive Lie group actions on complex Grassmann manifolds is exploited to derive a necessary and sufficient accessibility criterion for the complex matrix differential Riccati equation. We treat both cases, the symmetric as well as the non-symmetric Riccati equation. Corresponding accessibility results for the real Riccati equation are also available, but not stated here. An application to the accessibility of generalized double bracket flows is given. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Sensitivity analysis of the algebraic Riccati equations

Summary. In this paper, some sharp perturbation bounds for the Hermitian positive semi-definite solution to an algebraic Riccati equation are developed. A further analysis for these bounds is done. This analysis shows that there is, presumably, some intrinsic relation between the sensitivity of the solution to the algebraic Riccati equation and the distance of the spectrum of the closed-loop matrix from the imaginary axis. Received December 16, 1994     

连续型线性定常系统的Riccati代数方程的小摄动问题

本文讨论了连续型线性定常系统摄动的Riccati代数方程所对应的稳定性问题.通过矩阵范数分析建立了摄动的Riccati代数方程的解的摄动界估计(以系统参数摄动界表出),从而提供了一种方便的实用计算方法.     

Sensitivity analysis of the differential matrix Riccati equation based on the associated linear differential system

Perturbation bounds are given for the solution of the nth order differential matrix Riccati equation using the associated linear 2nth order differential system. The new bounds are alternative to those existing in the literature and are sharper in some cases. This revised version was published online in June 2006 with corrections to the Cover Date.     

The convergence rate of continued fractions representing solutions of a Riccati equation

The aim of this note is to generalize and apply results on matrix continued fractions representing the solution of discrete matrix Riccati equations. Assuming uniform bounds for the norm of the matrix coefficients of the continued fraction, the minimal and maximal solutions of the corresponding algebraic Riccati equation can be accurately enclosed.     

Integrable hydrodynamic submodels with a linear velocity field

Invariant and partially invariant solutions to the equations of gas dynamics with a linear velocity field are defined by a matrix satisfying a homogeneous integrable Riccati equation. The classification is carried out of solutions by the acceleration vector in the Lagrangian coordinates. Some example is given of an invariant solution for which the selected volume “collapses” to an interval.