DEL MORAL, Pierre; HORTON, Emma

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DEL MORAL, Pierre
Méthodes avancées d’apprentissage statistique et de contrôle [ASTRAL]

HORTON, Emma
Méthodes avancées d’apprentissage statistique et de contrôle [ASTRAL]

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SIAM Journal on Control and Optimization. 2022

Society for Industrial and Applied Mathematics

Résumé en anglais

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.< Réduire

Mots clés en anglais

Riccati matrix difference equations

Discrete time algebraic Riccati equation

Sherman-Morrison-Woodbury inversion identity

Gramian matrix

Matrix positive definite maps

Floquet theory

Semigroup duality formula

Lyapunov equations

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A note on Riccati matrix difference equations

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