For an infinite-dimensional linear quadratic control problem in Hilbert space, approximation of the solution of the algebraic Riccati operator equation in the strong operator topology is considered under conditions weaker than uniform exponential stability of the approximating systems. As an application, strong convergence of the approximating Riccati operators in case of a previously developed...

For the nonsymmetric algebraic Riccati equation for which the four coefficient matrices form an M -matrix, the solution of practical interest is often the minimal nonnegative solution. In this note we prove that the minimal nonnegative solution is positive when the M -matrix is irreducible.

This paper treats a set of equations of the form X + AF(X)A = Q, where F maps positive definite matrices either into positive definite matrices or into negative definite matrices, and satisfies some monotonicity property. Here A is arbitrary and Q is a positive definite matrix. It is shown that under some conditions an iteration method converges to a positive definite solution. An estimate for ...

In this paper, we consider a robust stability problem for continuous time stochastic uncertain systems. The uncertainty in the system is characterized in terms of an uncertain probability distribution on the noise input. This uncertainty is assumed to satisfy a certain relative entropy constraint. The solution to a specially parametrized risk-sensitive performance analysis problem is used to es...

This paper provides a numerical approximation theory of algebraic Riccati operator equations with unbounded coefficient operators A and B , such as arise in the study of optimal quadratic cost problems over the time interval [0, oo] for the abstract dynamics y = Ay + Bu . Here, A is the generator of a strongly continuous analytic semigroup, and B is an unbounded operator with any degree of unbo...

The numerical solution of discrete-time algebraic Ric-cati equations is discussed. We propose to compute an approximate solution of the discrete-time algebraic Riccati equation by the (butterry) SZ algorithm. This solution is then reened by a defect correction method based on Newton's method. The resulting method is very eecient and produces highly accurate results.

• We often approximate a large number of periods, even if the horizon is known and finite, by assuming an infinite number of periods, and hope that this assumption will simplify the solution. Indeed, even if the general theory becomes more involved, the solution obtained often is simpler and has important computational and conceptual advantages: in particular, the optimal policy is often statio...

We consider the algebraic Riccati equation for which the four coefficient matrices form an M -matrix K. When K is a nonsingular M -matrix or an irreducible singular M -matrix, the Riccati equation is known to have a minimal nonnegative solution and several efficient methods are available to find this solution. In this paper we are mainly interested in the case where K is a reducible singular M ...