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...

The initial value problem for a matrix Riccati differential equation associated with an M -matrix is known to have a global solution X(t) on [0,∞) when X(0) takes values from a suitable set of nonnegative matrices. It is also known, except for the critical case, that as t goes to infinity X(t) converges to the minimal nonnegative solution of the corresponding algebraic Riccati equation. In this...

This paper is concerned with a discrete-time indefinite stochastic LQ problem in an infinite-time horizon. A generalized stochastic algebraic Riccati equation GSARE that involves the MoorePenrose inverse of a matrix and a positive semidefinite constraint is introduced. We mainly use a semidefinite-programmingSDPbased approach to study corresponding problems. Several relations among SDP compleme...

We study the problem of existence of weak right or left or strong coprime factorizations in H-infinity over the right half-plane of an analytic function defined in some subset of the right half-plane. We give necessary and sufficient conditions for the existence of such coprime factorizations in terms of an optimal control problem over the doubly infinite continuous-time axis. In particular, we...

Abstract. We define a new class of solutions to the WDVV associativity equations. This class is determined by the property that one of the commuting PDEs associated with such a WDVV solution is linearly degenerate. We reduce the problem of classifying such solutions of the WDVV equations to the particular case of the so-called algebraic Riccati equation and, in this way, arrive at a complete cl...

In this paper, new upper matrix bounds for the solution of the continuous algebraic Riccati equation (CARE) are derived. Following the derivation of each bound, iterative algorithms are developed for obtaining sharper solution estimates. These bounds improve the restriction of the results proposed in a previous paper, and are more general. The proposed bounds are always calculated if the stabil...

Linear quadratic controllers for dynamical systems with complicated dynamics are presented. Systems with complicated dynamics are those that run over compact sets and have such features as nontrivial recurrence, periodic and aperiodic orbits. The controllers are based on modeling the nonlinear dynamical systems as linear dynamically varying systems. Necessary and sufficient conditions for the e...

Modern optimal control techniques such as H2 and H1 control rely on the solution of algebraic Riccati equations for controller synthesis. Reliable numerical techniques for numerical computation of the solution of these equations have been proposed using eigenvector or Schur decompositions of Hamiltonian matrices for continuous-time algebraic Riccati equations (CARE), or symplectic matrices for ...

In this paper, we study the linear quadratic Nash games for infinite horizon singularly perturbed systems. In order to solve the problem, we must solve a pair of cross–coupled algebraic Riccati equations with a small positive parameter ε. As a matter of fact, we propose a new algorithm, which combines Lyapunov iterations and the generalized Lyapunov equation direct method, to solve the cross–co...