The infinite-dimensional Riccati equation

The infinite-dimensional versions of the linear quadratic cost control problem and of the linear filtering problem lead to an infinite-dimensional Riccati equation with unbounded operators. Existence and uniqueness theorems for mild solutions of this Riccati equation are established using a sequential approach based on approximating controllers for the linear quadratic cost control problem. By using a semigroup and evolution equation approach, the results are valid for a large class of unbounded operators and, hence, are applicable to many linear infinite-dimensional control systems.     

On discrete stochastic bilinear systems stability

Mean square stability conditions for discrete-time bilinear systems operating in a stochastic environment are given in this paper. Only independence and wide sense stationarity are required for the second order disturbance sequences involved, thus dismissing ergodicity and zero-mean assumptions. Stochastic stability conditions are derived by using a deterministic stability result for a class of separable nonlinear dynamical systems evolving in a Banach space.     

Riccati inequality and other results for discrete symplectic systems

In this paper we establish several new results regarding the positivity and nonnegativity of discrete quadratic functionals F associated with discrete symplectic systems. In particular, we derive (i) the Riccati inequality for the positivity of F with separated endpoints, (ii) a characterization of the nonnegativity of F for the case of general (jointly varying) endpoints, and (iii) several perturbation-type inequalities regarding the nonnegativity of F with zero endpoints. Some of these results are new even for the special case of discrete Hamiltonian systems.     

An existence and monotonicity theorem for the discrete algebraic matrix Riccati equation

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.     

New upper solution bounds of the discrete algebraic Riccati matrix equation

In this note, we present upper matrix bounds for the solution of the discrete algebraic Riccati equation (DARE). Using the matrix bound of Theorem 2.2, we then give several eigenvalue upper bounds for the solution of the DARE and make comparisons with existing results. The advantage of our results over existing upper bounds is that the new upper bounds of Theorem 2.2 and Corollary 2.1 are always calculated if the stabilizing solution of the DARE exists, whilst all existing upper matrix bounds might not be calculated because they have been derived under stronger conditions. Finally, we give numerical examples to demonstrate the effectiveness of the derived results.     

Existence of solutions to the Riccati equation for time-varying distributed systems

We prove the existence of solutions to a time-varying distributedRiccati equation when a suitable comparison equation is solvable.     

Analysis of a discrete matrix Riccati equation of linear control and Kalman filtering

A characterization of the interrelationship between the recursive Riccati difference equation and its steady-state form is developed via the method of quasilinearization. Not only does this approach unify the discussion, but it also strengthens known results. In addition, this method yields an algorithm for computing the solution of the steady-state equation.     

Cauchy's problem for an essentially infinite-dimensional parabolic equation on an infinite-dimensional sphere

Ukrainian Mathematical Journal -     

Riccati equation arising in the boundary control of stochastic hyperbolic systems

A Riccati equation of stochastic control theory is studied directly. The equation arises in the synthesis of a linear quadratic regulator problem for systems governed by stochastic partial differential equations of hyperbolic type, with contorl acting on the boundary through Dirichlet of Neumann conditions     

Parameter-insensitive disturbance rejection for infinite-dimensional systems

In the framework of the so-called geometric approach, this paperstudies two parameter-insensitive disturbance-rejection problemswith state feedback and with incomplete state feedback for linearsystems defined in Hilbert spaces, and presents necessary and/orsufficient conditions for these problems to be solvable undercertain assumptions.     

Absolute stability criteria for infinite-dimensional discrete Lur'e systems with application to loaded distortionless electric RLCG-transmission line

We study absolute stability of a class of discrete Lur'e control system on an infinite-dimensional Hilbert space. Counterparts of the circle criterion and the Szegö criterion are derived using, respectively, quadratic and non-quadratic Lyapunov functionals. A link with existing finite-dimensional theory of absolute stability is shown. The results are illustrated by an example of the loaded distortionless electric RLCG-transmission line with a nonlinear static feedback. Its stability was previously investigated using the circle criterion for continuous infinite-dimensional systems with unbounded control and observation in the frame of systems in factor form.     

On the nonnegative self-adjoint solutions of the operator Riccati equation for infinite dimensional systems

The nonnegative self-adjoint solutions of the operator Riccati equation (ORE) are studied for stabilizable semigroup Hilbert state space systems with bounded sensing and control. Basic properties of the maximal solution of the ORE are investigated: stability of the corresponding closed loop system, structure of the kernel, Hilbert-Schmidt property. Similar properties are obtained for the nonnegative self-adjoint solutions of the ORE. The analysis leads to a complete classification of all nonnegative self-adjoint solutions, which is based on a bijection between these solutions and finite dimensional semigroup invariant subspaces contained in the antistable unobservable subspace.     

Non-coercive Lyapunov functions for infinite-dimensional systems

We show that the existence of a non-coercive Lyapunov function is sufficient for uniform global asymptotic stability (UGAS) of infinite-dimensional systems with external disturbances provided the speed of decay is measured in terms of the norm of the state and an additional mild assumption is satisfied. For evolution equations in Banach spaces with Lipschitz continuous nonlinearities these additional assumptions become especially simple. The results encompass some recent results on linear switched systems on Banach spaces. Finally, we derive new non-coercive converse Lyapunov theorems and give some examples showing the necessity of our assumptions.     

Nonlinearity tests for bilinear systems

The purpose of this paper is to develop nonlinearity tests for open-loop bilinear systems. Lagrange multiplier tests of linear systems against a bilinear alternative are proposed. A simulation study is performed to check the validity of the asymptotic null distributions of the test statistics and to investigate the power characteristics of the tests. Two recent nonlinearity tests in the time-series context are adapted to linear systems and compared with Lagrange multiplier tests. Simulation results show that the proposed Lagrange multiplier tests are more powerful than the other tests.     

Invariant tori of linear countable systems of discrete equations given on an infinite-dimensional torus

We study the problem of existence and uniqueness of invariant toroidal manifolds of countable systems of linear equations given on an infinite-dimensional torus. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 2, pp. 244–251, February, 1998.     

Numerical treatment for solving fractional Riccati differential equation

This paper presents an accurate numerical method for solving fractional Riccati differential equation (FRDE). The proposed method so called fractional Chebyshev finite difference method (FCheb-FDM). In this technique, we approximate FRDE with a finite dimensional problem. The method is based on the combination of the useful properties of Chebyshev polynomials approximation and finite difference method. The Caputo fractional derivative is replaced by a difference quotient and the integral by a finite sum. By this method the given problem is reduced to a problem for solving a system of algebraic equations, and by solving this system, we obtain the solution of FRDE. Special attention is given to study the convergence analysis and estimate an error upper bound of the obtained approximate formula. Illustrative examples are included to demonstrate the validity and applicability of the proposed technique.     

Homotopy analysis method for quadratic Riccati differential equation

In this paper, the quadratic Riccati differential equation is solved by means of an analytic technique, namely the homotopy analysis method (HAM). Comparisons are made between Adomian’s decomposition method (ADM), homotopy perturbation method (HPM) and the exact solution and the homotopy analysis method. The results reveal that the proposed method is very effective and simple.