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

DOI10.1016/J.AUTOMATICA.2021.109788MaRDI QIDQ2665637zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 19 November 2021

Published in Automatica (Search for Journal in Brave)

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

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)

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.

Review text

This note investigates the monotonicity properties of iterative methods for solving the discrete-time algebraic Riccati equation (DARE). There are several classical iterative methods for solving the DARE in the literature, including the ones proposed in [\textit{P. E. Caines} and \textit{D. Q. Mayne}, Int. J. Control, I. Ser. 12, 785--794 (1970; Zbl 0205.15902)], [\textit{G. Hewer}, ``An iterative technique for the computation of the steady state gains for the discrete optimal regulator, IEEE Trans. Autom. Control 16, No. 4, 382--384 (1971)], algebraic methods [\textit{P. Lancaster} and \textit{L. Rodman}, Algebraic Riccati equations. Oxford: Clarendon Press (1995; Zbl 0836.15005)], and semi-definite programming [\textit{V. Balakrishnan} and \textit{L. Vandenberghe}, IEEE Trans. Autom. Control 48, No. 1, 30--41 (2003; Zbl 1364.90244)]. In particular, these iterative methods generate a sequence of positive-definite matrices which converges to the solution of the DARE. Authors provide a set of counterexamples for the monotonicity of the Newton-Hewer method [Hewer, loc. cit.] for solving the discrete-time algebraic Riccati equation in dynamic settings, drawing a contrast with the Riccati difference equation [\textit{P. E. Caines} and \textit{D. Q. Mayne}, Int. J. Control, I. Ser. 12, 785--794 (1970; Zbl 0205.15902)].

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Cites work

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

Cited in

(1)

• Logarithmic regret in online linear quadratic control using Riccati updates

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