The contraction rate in Thompson's part metric of order-preserving flows on a cone -- application to generalized Riccati equations (Q2441677)

Differential Riccati equation arising in linear-quadratic control or optimal filtering problems looks as follows \[ \dot P=A'P+PA-P\Sigma P+Q, \quad P(0)=G, \] where \(A\) is a square matrix, \(\Sigma, Q\) are positive semidefinite matrices, and \(G\) is a positive definite matrix. The equation \[ \dot P=A'P+PA+S'PS+Q-(PB+S'PD+L')(R+D'PD)^{-1}(B'P+D'PS+L), \] \[ P(0)=G, \tag{1} \] where \(R+D'PD\) is positive definite, arises in stochastic linear quadratic optimal control. It is known as the generalized Riccati differential equation or as the stochastic Riccati differential equation. Motivated by the analysis of the generalized Riccati differential equation, the authors study the question of computing the contraction rate in Thompson's part metric of an arbitrary order-preserving (time-dependent) flow defined on a subset of the interior of a closed convex and pointed cone in a possibly infinite dimensional Banach space. The order associated with such a cone \(\mathcal C\) is defined by \(x \leq y\) \(\Leftrightarrow\) \(y-x \in \mathcal C\), and Thompson's part metric is defined on the interior of \(\mathcal C\) by the formula \[ d_T(x, y) := \log(\max\{M(x/y), M(y/x)\}) \] where \[ M(x/y) := \inf\{t\in {\mathtt R} : ty \geq x\} =\sup_{\psi \in \mathcal C^* } {\psi(x)} / {\psi(y)}, \] and \(\mathcal C^*\) denotes the dual cone of \(\mathcal C\). Here are three main results of the paper. { Theorem 1.} Assume, that the flow of the differential equation \(\dot x(t)=\phi(t,x(t))\) is order preserving with respect to the cone \(\mathcal C\), and let \(\mathcal U\) denote an open domain included in the interior of this cone such that \(\lambda \mathcal U \subset \mathcal U\) holds for all \(\lambda\in (0, 1]\). Then the contraction rate of the flow over a time interval \(J\), on the domain \(\mathcal U\), with respect to Thompson's part metric, is given by the formula \[ \alpha:=\sup_{s\in J,\, x\in \mathcal U } M\bigl(\bigl(D\phi_s(x)x-\phi(s, x)\bigr)/x\bigr). \] Here, \(D\phi_s(x)\) denotes the derivative of the map \((s, x)\longmapsto\phi(s, x)\) with respect to the variable \(x\). The second result shows that the flow of the equation (1) is a local contraction in Thompson's part metric. { Theorem 2.} Assume that the coefficients of the generalized Riccati equation (1) are constant, and that the matrix \(\left(\begin{smallmatrix} Q & L' \cr L & R \end{smallmatrix} \right) \) is positive definite. Then, the flow of this equation is a strict contraction on the interior of the cone of positive definite matrices, and this contraction is uniform on any subset that is bounded from above in the Loewner order. { Theorem 3.} The flow of the generalized Riccati differential equation is non-expansive in the invariant Finsler metric arising from a symmetric gauge function, regardless of the parameters \((A, B, D, L, Q, R, S)\), if and only if this symmetric gauge function is a scalar multiple of the sup-norm.