On the maximal solution of the conjugate discrete-time algebraic Riccati equation (Q2080880)

The authors consider the conjugate discrete-time algebraic Riccati equation \( X=\mathcal{R}(X)=A^{H}\overline{X}A-A^{H}\overline{X}B(R+B^{H}\overline{X} B)^{-1}B^{H}\overline{X}A+H\), where \(A\in \mathbb{C}^{n\times n}\), \(B\in \mathbb{C}^{n\times m}\), \(R\) is a nonsingular matrix in the set \(\mathbb{H} _{m}\) of \(m\times m\) Hermitian matrices, \(H\in \mathbb{H}_{n}\), \(I\) is the identity matrix, and \(\overline{M}\) is the matrix obtained by taking the complex conjugate of each entry of the matrix \(M\). This equation may be written in compact form as \(X=A^{H}\overline{X}(I+G\overline{X})^{-1}A+H\), with \(G=BR^{-1}B^{H}\). The purpose of the paper is to prove the existence of a maximal solution to this equation. The domain of the operator \(\mathcal{R} :\mathrm{dom}(\mathcal{R})\rightarrow \mathbb{H}_{n}\) defined in the previous equation is \(\mathrm{dom}(\mathcal{R})=\{X\in \mathbb{H}_{n}\mid \det (R_{X})=\det (R+B^{H}\overline{X}B)\neq 0\}\). The authors introduce the sets \(R_{\leq }=\{X\in \mathrm{dom}(\mathcal{R})\mid X\leq \mathcal{R}(X)\}\), \(\mathbb{T}=\{X\in \mathbb{H}_{n}\mid \rho (\widehat{T}X)<1\}\) and \(\mathbb{P}=\{X\in \mathbb{H} _{n}\mid R_{X}>0\}\), where \(\widehat{M}=\overline{M}M\) and \(\rho (A)\) is the spectral radius of \(A\). The main result of the paper proves that if \(\mathbb{ T}\neq \emptyset \) and \(R_{\leq }\cap \mathbb{P}\neq \emptyset \), a maximal solution \(X_{M}\) to the above equation exists. This maximal solution is obtained through the fixed-point iteration \(X_{k+1}=\mathcal{R}(X_{k})\), \( k\geq 0\), and the authors prove properties of this sequence. The paper ends with an example.