The discrete-time generalized algebraic Riccati equation: order reduction and solutions' structure

DOI10.1016/J.SYSCONLE.2014.11.001MaRDI QIDQ2258161zbMATH OpenOpenAlexFDO

Authors Lorenzo Ntogramatzidis, Augusto Ferrante

Publication date 2 March 2015

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.6409

zbMATH Keywords

additive decompositiongeneralized discrete-time algebraic Riccati equations

Mathematics Subject Classification ID

System structure simplification (93B11) Discrete-time control/observation systems (93C55)

Abstract: In this paper we discuss how to decompose the constrained generalized discrete-time algebraic Riccati equation arising in optimal control and optimal filtering problems into two parts corresponding to an additive decomposition X=X0+D of each solution X: The first part is an explicit expression of the addend X0 which is common to all solutions, and does not depend on the particular X. The second part can be either a reduced-order discrete-time regular algebraic Riccati equation whose associated closed-loop matrix is non-singular, or a symmetric Stein equation.

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Cited in

(8)

• On the reduction of the continuous-time generalized algebraic Riccati equation: an effective procedure for solving the singular LQ problem with smooth solutions
• On discrete algebraic Riccati equations: a rank characterization of solutions
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• Reduction of discrete algebraic Riccati equations: elimination of generalized eigenvalues on the unit circle
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