A stochastic linear quadratic (LQ) control problem is indefinite when the cost weighting matrices for the state and the control are allowed to be indefinite. Indefinite stochastic LQ theory has been extensively developed and has found interesting applications in finance. However, there remains an outstanding open problem, which is to identify an appropriate Riccati-type equation whose solvabili...

The paper presents a new approach to the robust H ∞ control of an uncertain system via an output feedback controller which is both stable and positive real. The uncertain systems under consideration contain structured uncertainty described by integral quadratic constraints. The controller is designed to achieve absolute stabilization with a specified level of disturbance attenuation. The main r...

In this paper, a computational algorithm for solving sign-indefinite general multiparameter algebraic Riccati equation (SIGMARE) that arises in the H∞ filtering problem is investigated. After establishing the asymptotic structure of the solution of the SIGMARE, in order to solve the SIGMARE, Newton’s method and two fixed point algorithms are combined. As a result, the new iterative algorithm ac...

We start with a discussion of coupled algebraic Riccati equations arising in the study of linear-quadratic optimal control problem for Markov jump linear systems. Under suitable assumptions, this system of equations has a unique positive semidefinite solution, which is the solution of practical interest. The coupled equations can be rewritten as a single linearly perturbed matrix Riccati equati...

We generalize the classical theory on algebraic Riccati equations and optimization to infinite-dimensional well-posed linear systems, thus completing the work of George Weiss, Olof Staffans and others. We show that the optimal control is given by the stabilizing solution of an integral Riccati equation. If the input operator is not maximally unbounded, then this integral Riccati equation is equ...

After its original formulation in [1], the H ∞-optimization problem has drawn great attention (see e.g. [2]-[12] and the references cited therein). Several approaches have been reported in order to solve this important design problem for a variety of systems types. In particular, the H ∞-control problem for discrete-time and sampled-data singlerate and multirate systems has successfully been tr...

We discuss a parallel algorithm for the solution of large-scale generalized algebraic Riccati equations with dimension up to O(10). We survey the numerical algorithms underlying the implementation of the method, in particular, a Newton-type iterative solver for the generalized Riccati equation and an LR-ADI solver for the generalized Lyapunov equation. Experimental results on a cluster of Intel...

We give an overview of how the Riccati equation makes its appearance in the stability analysis of linear systems with delays. We avoid complexities as time-invariance, added perturbations, distributed delays etc, to get to the main issues. Most generalizations can be or have been carried out, but do not add substantially to our understanding. We also show the connection between quadratic stabil...