Geometric aspects of the Riccati difference equation in the nonsymmetric case

DOI10.1016/S0024-3795(96)00738-0MaRDI QIDQ677798zbMATH OpenOpenAlexFDO

Authors Domenico D'Alessandro

Publication date 1997

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0024-3795(96)00738-0

zbMATH Keywords

nonsymmetric Riccati difference equationsolutions

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55)

Review text

The nonsymmetric Riccati difference equation under consideration is \[ X(t+1)= [B_{21}(t)+ B_{22}(t) X(t)][B_{11}(t)+ B_{12}(t) X(t)]^{-1}, \] where \(X(t)\) is a complex matrix valued function of dimension \(m\times n\), on an interval \([t_0,t_1]\) of the integers, and \(B_{ij}(t)\) are similar matrix valued functions of suitable dimensions. This paper presents a study of the geometry of this equation. Two representations of the solutions are given in terms of some of them, assumed known. One formula allows to calculate all solutions in terms of \(k\) of them, where \(m\) and \(k\) are related. The other one identifies families of solutions which are projective superpositions of known solutions. The results generalize properties known for the symmetric Riccati equation (see, for example [\textit{C. V. de Souza}, Proceedings of the workshop on the Riccati equation in control, systems and signals, Como, Italy, 38-41 (1989)]). They are of importance in applications in the theory of control and differential games.

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Cites work

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Cited in

(3)

• Convergence and existence results for continuous- and discrete-time Riccati equations
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