A note on Riccati matrix difference equations

DOI10.1137/21M1437226MaRDI QIDQ5081086zbMATH OpenOpenAlexFDO

Authors Pierre Del Moral, Emma Horton

Publication date 1 June 2022

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2107.12918

zbMATH Keywords

discrete time algebraic Riccati equationFloquet theoryGramian matrixLyapunov equationsmatrix positive definite mapsRiccati matrix difference equationssemigroup duality formulaSherman-Morrison-Woodbury inversion identity

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Linear difference equations (39A06) Discrete version of topics in analysis (39A12)

Abstract: Discrete algebraic Riccati equations and their fixed points are well understood and arise in a variety of applications, however, the time-varying equations have not yet been fully explored in the literature. In this article we provide a self-contained study of discrete time Riccati matrix difference equations. In particular, we provide a novel Riccati semigroup duality formula and a new Floquet-type representation for these equations. Due to the aperiodicity of the underlying flow of the solution matrix, conventional Floquet theory does not apply in this setting and thus further analysis is required. We illustrate the impact of these formulae with an explicit description of the solution of time-varying Riccati difference equations and its fundamental-type solution in terms of the fixed point of the equation and an invertible linear matrix map, as well as uniform upper and lower bounds on the Riccati maps. These are the first results of this type for time varying Riccati matrix difference equations.

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• New trends in the stability of Sinkhorn semigroups

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