A note on the minimal nonnegative solution of a nonsymmetric algebraic Riccati equation (Q1855425)

From MaRDI portal
scientific article
Language Label Description Also known as
English
A note on the minimal nonnegative solution of a nonsymmetric algebraic Riccati equation
scientific article

    Statements

    A note on the minimal nonnegative solution of a nonsymmetric algebraic Riccati equation (English)
    0 references
    0 references
    5 February 2003
    0 references
    Consider the nonsymmetric algebraic Riccati equation (ARE) \(XCX-XD-AX+B=0\) where \(A\in \mathbb{R}^{m\times m},\;B\in \mathbb{R}^{m\times n},C\in \mathbb{R}^{n\times m},\) and \(D\in \mathbb{R}^{n\times n}\) and \[ K=\begin{pmatrix} D & -C \\ -B & A \end{pmatrix} \] is an \(M\)-matrix. Then the paper proves that if the matrix \(K\) is an irreducible \(M\)-matrix, then the minimal nonnegative solution of the ARE, let \(S\), is positive i.e. \(S>0\). This assumption (\(S>0\)) is needed for the nonsymmetric ARE arising in the Wiener-Hopf factorization of Markov chains.
    0 references
    nonsymmetric algebraic Riccati equations
    0 references
    M-matrices
    0 references
    minimal nonnegative solutions
    0 references
    Wiener-Hopf factorization
    0 references
    Markov chains
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references