On the lack of monotonicity of Newton-Hewer updates for Riccati equations

DOI10.1016/J.AUTOMATICA.2021.109788zbMATH Open1480.49008arXiv2010.15983OpenAlexW3182725192MaRDI QIDQ2665637FDOQ2665637

Authors: Yanyan Li 

Publication date: 19 November 2021

Published in: Automatica (Search for Journal in Brave)

Abstract: We provide a set of counterexamples for the monotonicity of the Newton-Hewer method for solving the discrete-time algebraic Riccati equation in dynamic settings, drawing a contrast with the Riccati difference equation.

Full work available at URL: https://arxiv.org/abs/2010.15983

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zbMATH Keywords

discrete algebraic Riccati equationLQR optimal control

Mathematics Subject Classification ID

Existence theories for optimal control problems involving relations other than differential equations (49J21) Discrete-time control/observation systems (93C55)

Cites Work

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• On the Time-Varying Riccati Difference Equation of Optimal Filtering
• Semidefinite programming duality and linear time-invariant systems
• On stabilizing properties of solutions of the Riccati difference equation
• Robust stabilizing solution of the Riccati difference equation
• Generalized Riccati difference and differential equations
• On the discrete time matrix Riccati equation of optimal control†

Cited In (1)

• Logarithmic regret in online linear quadratic control using Riccati updates

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