Discrete matrix Riccati equations with superposition formulas

Solutions of Nonlinear Differential and Difference Equations with Superposition Formulas

Matrix Riccati equations and other nonlinear ordinary differential equations with superposition formulas are, in the case of constant coefficients, shown to have the same exact solutions as their group theoretical discretizations. Explicit solutions of certain classes of scalar and matrix Riccati equations are presented as an illustration of the general results. Typeset using REVTEX 1

Discrete Time H∞ Algebraic Riccati Equations

Order Reduction of Discrete–time Algebraic Riccati Equations with Singular Closed Loop Matrix

We study the general discrete-time algebraic Riccati equation and deal with the case where the closed loop matrix corresponding to an arbitrary solution is singular. In this case the extended symplectic pencil associated with the DARE has 0 as a characteristic root and the corresponding spectral deflating subspace gives rise to a subspace where all solutions of the DARE coincide. This allows fo...

On Solving Discrete-time Periodic Riccati Equations

Two numerically reliable algorithms to compute the periodic nonnegative definite stabilizing solution of discrete-time periodic Riccati equations are proposed. The first method represents an extension of the periodic QZ algorithm to non-square periodic pairs, while the second method represents an extension of a quotient-product swapping and collapsing ”fast” algorithm. Both approaches are compl...

GIP integrators for Matrix Riccati Differential Equations

Matrix Riccati Differential Equations (MRDEs) are initial value problems of the form: X 0 1⁄4 A21 XA11 þ A22X XA12X; Xð0Þ 1⁄4 X0: These equations arise frequently throughout applied mathematics, science, and engineering. It can happen that even when the Aij are smooth functions of t or constant, the solution X may have a singularity or even infinitely many singularities. This paper shows severa...