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An existence and monotonicity theorem for the discrete algebraic matrix Riccati equation |
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| Authors: | P Lancaster A C M Ran L Rodman |
| Institution: | a Department of Mathematics and Statistics, University of Calgary, Calgary, Alberta, Canada b Wiskundig Seminarium, Vrije Universiteit, Amsterdam, The Netherlands c School of Mathematical Sciences, Tel-Aviv University, Tel-Aviv, Israel d Department of Mathematics, Arizona State University, Tempe, AZ, USA |
| Abstract: | Maximal hermitian solutions of the discrete algebraic matrix Riccati equation play an important role in least squares optimal control problems for discrete linear systems. We prove an existence and comparison theorem concerning maximal hermitian solutions. This theorem is inspired by known results for the algebraic Riccati equation arising in the least squares optimal control problem in continuous linear systems. |
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