The algebraic Riccati equation. - A polynomial approach (Q1060266)

This paper considers the problem of classifying the set of all real symmetric solutions of the algebraic Riccati equation (ARE) \(\tilde AX+XA-XB\tilde BX+Q=0\) by using polynomial models, where tilde denotes matrix transpose. For the ARE, we introduce the Hamiltonian \[ H=\left[ \begin{matrix} A&-B\tilde B \\ -Q& -\tilde A\end{matrix} \right] \] and the rational matrix function \(\phi(z)\) defined by \(\phi(z)=I-\tilde B(zI+\tilde A)^{-1}Q(zI-A)^{-1}B.\) \(\phi\) is causally invertible rational matrix satisfying \(\lim_{z\to \infty}\phi (z)=I\), i.e. \(\phi\) is a normalized bicausal isomorphism (n.b.i.). It is said that the rational matrix \(R(z)\) has the Hamiltonian symmetry property if \(R^ H(z)=R(z)\) where \(R^ H(z){\underset {=} \Delta}\tilde R(-z)\). For a Hamiltonian symmetric polynomial \(P[z]\), a factorization \(P=N^ H\Sigma N\) with a signature matrix \(\Sigma\) is called a Hamiltonian symmetric factorization. For a Hamiltonian symmetric n.b.i.\(\phi\), a symmetric factorization of \(\phi\) is defined as a factorization \(\phi(z)=V^ H(z)V(z)\) such that V is also an n.b.i. The factorization is minimal if \(\delta (\phi)=2\delta (V).\) A 2n-dimensional vector space V with alternating metric \(\ll x,y\gg =(Jx,y)\) is called a symplectic space where (x,y) is a standard inner product and \(J=\left[ \begin{matrix} 0&I\\ -I&0 \end{matrix} \right]\). U is called a Lagrange subspace of V if it is a maximal subspace of V such that \(\ll u_ 1,u_ 2\gg =0\) for all \(u_ 1,u_ 2\in U\). U has dimension n. A real symmetric solution K of the ARE is an unmixed solution if \(\sigma (A-B\tilde BK)\cap \sigma (-\tilde A+KB\tilde B)=\phi\) where \(\sigma(A)\) denotes the spectrum of A. The main results of this paper are given by Theorem 3.5. There is a bijective correspondence between the following: (i) Real symmetric solutions of the ARE. (ii) Minimal symmetric factorizations of \(\phi\) (z). (iii) Hamiltonian symmetric factorizations of (zI-H)J. (iv) n-dimensional Lagrangian H-invariant subspaces of \(R^{2n}\). (v) Invariant subspaces of \(A-B\tilde BK\) for any unmixed real solution K of the ARE. (vi) Polynomial matrix solutions N of the polynomial Riccati equation \(N^ HN=D^ HD+H^ HQH\) for which \(ND^{- 1}\) is an n.b.i. and where D, H are right coprime polynomial matrices satisfying \((zI-A)^{-1}B=H(z)D(z)^{-1}.\)