The role of Hamiltonian in the solution of algebraic Riccati equations (Q4240470)

This expository paper begins with some interesting historical comments on the investigations of Jacopo Riccati and on some further developments in the field of Riccati- and generalized matrix Riccati differential equations. The main part of the paper deals with Hermitian solutions of the algebraic Riccati equations arising from both continuous- and discrete-time problems. It is shown that there is a block matrix which is (in the real case) either Hamiltonian or symplectic, respectively, whose invariant subspaces can be used to characterize the solutions (if any) of the corresponding matrix equation. These results are connected with numerical procedures for the computation of certain (mainly the stabilizing) solutions to the ARE. It is also pointed out that it is expedient to replace the eigenvalue problems for the above mentioned block matrices with eigenvalue problems for matrix pencils. The paper suggests that the numerically difficult cases are those for which the underlying block matrix has eigenvalues on the imaginary axes, or on the unit circle. For the entire collection see [Zbl 0911.00015].