Algebraic Matrix Riccati Equation Research Articles

On the explicit Hermitian solutions of the continuous‐time algebraic Riccati matrix equation for controllable systems

AbstractThis paper proposes explicit solutions for the algebraic Riccati matrix equation. For single‐input systems in controllable canonical form, the explicit Hermitian solutions of the non‐homogeneous Riccati equation are obtained using the entries of the system matrix, the closed‐loop system matrix, and the weighting matrix. The unknown entries of the closed‐loop system matrix are solved by scalar quadratic equations. For a homogeneous Riccati equation with a zero weighting matrix, the explicit solutions are proposed analytically in terms of the system eigenvalues. The advantages of the explicit solutions are threefold: first, if the system is controllable, the solution is directly given and the invariant subspaces of the Hamiltonian matrix are not required; second, if the system is near singularity, the explicit solution has higher numerical precision compared with the solution computed by numerical algorithms; third, for a real system in the controllable canonical form, the non‐negativity can be analysed for the explicit almost stabilizing solution.

Splitting iteration methods to solve non-symmetric algebraic Riccati matrix equation $$YAY-YB-CY+D=0$$

Splitting iteration methods to solve non-symmetric algebraic Riccati matrix equation $$YAY-YB-CY+D=0$$

Gain margin and Lyapunov analysis of discrete‐time network synchronization via Riccati design

SummaryThis paper deals with solution analysis and gain margin analysis of a modified algebraic Riccati matrix equation, and the Lyapunov analysis for discrete‐time network synchronization with directed graph topologies. First, the structure of the solution to the Riccati equation associated with a single‐input controllable system is analyzed. The solution matrix entries are represented using unknown closed‐loop pole variables that are solved via a system of scalar quadratic equations. Then, the gain margin is studied for the modified Riccati equation for both multi‐input and single‐input systems. A disc gain margin in the complex plane is obtained using the solution matrix. Finally, the feasibility of the Riccati design for the discrete‐time network synchronization with general directed graphs is solved via the Lyapunov analysis approach and the gain margin approach, respectively. In the design, a network Lyapunov function is constructed using the Kronecker product of two positive definite matrices: one is the graph positive definite matrix solved from a graph Lyapunov matrix inequality involving the graph Laplacian matrix; the other is the dynamical positive definite matrix solved from the modified Riccati equation. The synchronizing conditions are obtained for the two Riccati design approaches, respectively.

Solvability conditions for nonlinear matrix equations

Conditions for the existence of solutions of nonlinear matrix equations have been found and a method of their construction has been proposed. As an example of the iterative scheme construction, approximations for the solutions of the nonlinear algebraic matrix Riccati equation and their accuracy errors were determined.

A numerically stable high-order Chebyshev-Halley type multipoint iterative method for calculating matrix sign function

<abstract><p>A new eighth-order Chebyshev-Halley type iteration is proposed for solving nonlinear equations and matrix sign function. Basins of attraction show that several special cases of the new method are globally convergent. It is analytically proven that the new method is asymptotically stable and the new method has the order of convergence eight as well. The effectiveness of the theoretical results are illustrated by numerical experiments. In numerical experiments, the new method is applied to a random matrix, Wilson matrix and continuous-time algebraic Riccati equation. Numerical results show that, compared with some well-known methods, the new method achieves the accuracy requirement in the minimum computing time and the minimum number of iterations.</p></abstract>

FINITE APPROXIMATIONS OF THE PROBLEM OF OPTIMAL IMPULSE STABILIZATION FOR A SYSTEM WITH AFTEREFFECT

A method for constructing finite-dimensional approximations for the optimal impulse stabilizing control of a linear autonomous system of differential equations with aftereffect is proposed. Auxiliary finite-dimensional problems of optimal stabilization of linear autonomous systems of ordinary differential equations with non-impulse controls are used. A procedure for reducing the dimension of a system of algebraic matrix Riccati equations is described.

On stability of motion of unbalanced gyroscope

In this paper we consider the stability of motion of an unbalanced gyroscope with a flexible shaft in gimbal suspension.Gyroscopes are used to control the stability of boom tower cranes. First, we consider the linear Hamiltonian systems of differential equations. The Hamiltonian systems arise in transportation problems. We prove several properties of the Hamiltonian matrix. Next, we consider the normalization of Hamiltonian matrix. We solve the system of matrix equations to find the generating function of the canonical transformation. Further, we find the symmetric solution of nonlinear algebraic matrix Riccati equation in one case. We propose the analytical method for solving this equation. Further, we investigate the motion of gyroscope. We consider the system of equations of motion of the gyroscope rotor and frames in the first approximation. We consider eigenvalues of characteristic equation corresponding to the motion equations. We obtain stability criterion in several cases.

Iterative algorithms for reducing inversion of discrete algebraic riccati matrix equation

Abstract In practical engineering, many control problems usually can be transformed into solutions of the discrete algebraic Riccati equation (DARE), which has two matrix inverse operations formally. In this paper, first, by the relationship between properties of the matrix Schur complement and partitioned representation of inverse matrix, we change the DARE with twice inversions into an equivalent form with once inversion and propose a corresponding iterative algorithm. Next, for a special case of DARE, we deformed this DARE into a new equivalent one. For the equivalent form, we propose a new iterative algorithm in an inversion-free way. Furthermore, for these algorithms, we prove their monotone convergence and give the analysis of their errors. Last, comparing with some existing work on this topic, corresponding numerical examples are given to illustrate the superiority and effectiveness of our results.

Closed-form solution of non-symmetric algebraic Riccati matrix equation

In this work we obtain closed-form expression for the solution of non-symmetric algebraic Riccati equation (NARE), AX+XB+XCX=D,A,B,C,D∈ℂn×n, under some conditions on the matrices A,B,C and D. We show that the solution (real and complex) of this NARE is X=(A2+DC−A)C−1, where M is square root of matrix M. Finally this formula applied on some NAREs.

On the Hermitian and skew-Hermitian splitting-like iteration approach for solving complex continuous-time algebraic Riccati matrix equation

Some matrix equations are important in application and studying in various fields of sciences. One of them is continuous-time algebraic Riccati matrix equation that is an interesting subject for many researchers in engineering and sciences specially applied mathematics. In this work we try to apply Hermitian and skew-Hermitian splitting (HSS) like method to solve this equation. Then we analyze the convergence of the new iterative method in detail. Also we try to determine the optimum parameter in our method which minimizes the upper bounds of absolute error. In the end we test the new algorithm by solving some numerical examples.

Accurate numerical solution for structured [formula omitted]-matrix algebraic Riccati equations

This paper is concerned with a M-matrix algebraic Riccati equation (MARE) XDX−AX−XB+C=0 for which A is block-diagonal and its defining matrix W=B−D−CA is a nonsingular or irreducible singular M-matrix. Such an MARE can be decomposed into many coupled algebraic Riccati equations (AREs) that can be solved by the Jacobi- or Gauss–Seidel-like iteration updating scheme at the outer-loop while by a doubling algorithm in the inner loop for each coupled ARE, as first proposed by Meini (2013). The goals of this paper are two-fold. One is to resolve a critical technical detail in Meini’s algorithm that was not addressed. It is about whether each ARE in the inner loop has a minimal nonnegative solution. It is proved that the defining matrix of each coupled ARE during a doubling iteration is indeed a nonsingular or irreducible singular M-matrix and, as a result, they do have minimal nonnegative solutions and a doubling algorithm is an efficient way to compute them. The other goal is to design a highly accurate implementation of the doubling algorithm for the inner loop so that all entries of the minimal nonnegative solution to the original MARE are calculated with high entrywise relative accuracies, regardless of their magnitudes. This is made possible by a novel way of constructing triplet representations for the coupled ARE during doubling iterations. Numerical examples are presented to demonstrate that the resulting algorithm can indeed deliver an entrywise relatively accurate solution.

Simple adaptive control strategy for a class of systems subjected to real parametric uncertainty with application to unified chaotic system

In this paper, a relatively simplified adaptive control strategy for set of chaotic systems is presented. The results utilise the basic linear state feedback control strategy blended with algebraic matrix Riccati equation (AMRE) to derive the control mechanism for chaotic systems operating in uncertain environment. The proposed approach utilises lesser number of control inputs in comparison to methods available in literature. Moreover, the controller structure turns out to be simple linear combination of states of system for the chaotic systems belonging to the proposed class, which are otherwise handled with nonlinear controller design strategies. The Lyapunov stability approach is exploited to analytically derive the control function and the parametric updation laws for uncertain parameters. Extensive simulation results are elaborated for set of chaotic systems to demonstrate effectiveness and validity of the presented approach.

Symbolic Padé representation of stabilizing regulators for a class of nonlinear control systems with a parameter

An approach for the construction of a parametric set of stabilizing controls for a class of pseudo-linear control systems with a parameter that varies on a certain interval of the positive semi-axis is described. The algorithm is based on a combination of the State-dependent Riccati equation approach (SDRE) for feedback control design, matrix Padé approximations and intellectual choice theory. Firstly, asymptotic expansions for the solutions of certain matrix algebraic state-dependent Riccati equations in the vicinity of the boundary points of the interval of the parameter variation are constructed. The obtained asymptotic expansions are matched into one symbolic construction using two-point diagonal Padé approximations and as a result a parametric set of solutions for the entire domain of parameter variation is obtained. The resulting controllers have the form of the Kalman regulators and can be used for systems with different control gains coefficients. The symbolic and parametric representation of the regulators allows to increase the efficiency of calculations and to propose algorithms for the intellectual selection of the parameters taking into account the changes in the characteristics of motion in real time.

Modified Newton Integration Algorithm With Noise Tolerance for Discrete Algebraic Matrix Riccati Equation

Modified Newton Integration Algorithm With Noise Tolerance for Discrete Algebraic Matrix Riccati Equation

An iterative algorithm for coupled Riccati equations in continuous-time Markovian jump linear systems

In this paper, a novel implicit iterative algorithm with some tuning parameters is developed to solve the coupled algebraic Riccati matrix equation arising in the continuous-time Markovian jump linear systems. By introducing some tuning parameters in the proposed iterative algorithm, the current estimation for unknown variables is updated by using the information not only in the last step but also in the current iterative step and previous iterative steps. These tuning parameters can be appropriately chosen such that the proposed algorithm has faster convergence performance than some previous algorithms. It is shown that the proposed algorithm with zero initial conditions can monotonically converge to the unique positive semidefinite solution of the coupled Riccati matrix equation if the corresponding Markovian jump system is stabilisable. Finally, an example is provided to show the effectiveness of the developed algorithm.

Linear quadratic optimal control for a class of continuous-time nonhomogeneous Markovian jump linear systems in infinite time horizon

In this paper, the infinite time horizon linear quadratic optimal control problem is investigated for the continuous-time Itô stochastic Markovian jump linear systems (MJLSs) with time-varying transition rates. It is assumed that the time-varying transition rates of the MJLSs possess piecewise homogeneous time-varying property, which implies that the transition rates are time-varying in the whole time domain but they are time-invariant in some small time intervals. The variations of the transition rates in these small time intervals are considered to be in two cases: arbitrary variation and stochastic variation. With this, the considered system becomes a piecewise homogeneous Itô stochastic MJLS. The main contribution of this paper is that two linear quadratic optimal controllers in infinite time horizon are proposed for the above modeled continuous-time piecewise homogeneous Itô stochastic MJLS in the sense of arbitrary variation and stochastic variation, respectively. Moreover, the sufficient and necessary conditions for the existence of the designed controllers are established based on the existence of the unique positive definite solution of two coupled algebraic Riccati matrix equations. Finally, a simulation example is provided to illustrate the effectiveness of the proposed linear quadratic optimal controllers.

Solving Wiener–Hopf problems via an efficient iterative scheme

In the analysis of the fluid queues, it is necessary to obtain the nonnegative solution of a nonsymmetric algebraic Riccati matrix equation. Under suitable conditions, this solution can be obtained transforming algebraic Riccati equations into unilateral quadratic matrix equations. In this paper, we use an efficient iterative scheme to approximate a solution of this quadratic matrix equation. We improve the efficiency and the accuracy of Newton’s method, widely used in the literature. Moreover, a local convergence result is proved. Finally, we apply this efficient method to approximate the solution of a particular noisy Wiener–Hopf problem and we compare it with Newton’s method. Moreover, a predictor–corrector iterative scheme is constructed that improve the accessibility of the aforesaid method.

An extended block Golub–Kahan algorithm for large algebraic and differential matrix Riccati equations

In this paper we propose a new projection method to solve both large-scale continuous-time matrix Riccati equations and differential matrix Riccati equations. The new approach projects the problem onto an extended block Krylov subspace and gets a low-dimensional equation. We use the block Golub–Kahan procedure to construct the orthonormal bases for the extended Krylov subspaces. For matrix Riccati equations, the reduced problem is then solved by means of a direct Riccati scheme such as the Schur method. When we solve differential matrix Riccati equations, the reduced problem is solved by the Backward Differentiation Formula (BDF) method and the obtained solution is used to build the low rank approximate solution of the original problem. Finally, we give some theoretical results and present numerical experiments.

On one method of finding optimal control in construction industry

In this paper we consider options for solving optimal control problems with a quadratic quality criterion. There are optimal management tasks in the construction industry also. For example, in optimizing the construction technology of large complexes, construction work cycles at the facilities. A quadratic quality criterion leads to Riccati matrix differential equations that are generally not solvable in quadratures. In this paper we consider solution options in the case of a stationary system. We find a symmetric solution of algebraic matrix Riccati equation. We offer some new analytical methods for solving this nonlinear equation in various cases.

Iterative algorithms for discrete periodic Riccati matrix equations

In this paper, two iterative algorithms are constructed to obtain the positive definite solutions of the discrete periodic algebraic Riccati matrix equations. In these two algorithms, the estimation of the unknown matrices are updated by using the available estimation information at the current iteration step. The convergence properties of the proposed algorithms are also given. Finally, numerical examples are employed to illustrate the effectiveness of the proposed algorithms.