Matrix Riccati Differential Equation Research Articles

Approximate solution of a zero-sum linear-quadratic differential game by the auxiliary parameter method: analytical/numerical study

ABSTRACT A zero-sum finite horizon linear-quadratic differential game is considered. First, the terminal-value problem for the game-theoretic Riccati matrix differential equation, associated with the considered game by the solvability conditions, is analysed. This problem may not have the solution in the entire time-interval of the game's duration. Using the method of auxiliary parameter, a sufficient condition (in the terms of the game's data) for the existence of the solution to the aforementioned terminal-value problem in the entire time-interval of the game's duration is derived. An approximate analytical solution to this problem also is obtained as a partial sum of some infinite series of functions arising in the method of auxiliary parameter. Based on this approximate solution, suboptimal state-feedback controls of the players are formally designed and justified. It is shown that the pair of these controls constitutes an approximate-saddle point in the considered game. The theoretical results of the article are illustrated by their application to approximate solution of the problem of pursuit-evasion engagement between two flying vehicles.

Elzaki transform decomposition approach to solve Riccati matrix differential equations

Elzaki Transform Adomian decomposition technique (ETADM), which an elegant combine, has been employed in this work to solve non-linear Riccati matrix differential equations. Solutions are presented to demonstrate the relevance of the current approach. With the use of figures, the results of the proposed strategy are displayed and evaluated. It is demonstrated that the suggested approach is effective, dependable, and simple to apply to a range of related scientific and technical problems.

On the solution of riccati matrix differential equations by an improved variational iteration scheme

On the solution of riccati matrix differential equations by an improved variational iteration scheme

Model following adaptive control for the complex dynamic network with the dynamic matrix‐relation links

SummaryThis article formulates and solves a problem of model following adaptive control (MFAC) of nodes in the complex dynamic network (CDN) with the dynamic matrix‐relation links. From the perspective of composite systems, the CDN with the dynamic matrix‐relation links is considered as an interconnected system composed of intercoupling node subsystem (NS) and link subsystem (LS). Based on this idea, employing the Riccati matrix differential equation as the dynamic equation of LS, and the vector differential equation with the second derivative term as the dynamic equation of NS. Then, to remove the restriction that the state of LS is unavailable, an adaptive control scheme is proposed for NS with the help of constructed dynamic auxiliary tracking target for LS, such that the problem of MFAC of nodes is solved. Besides, it is proved mathematically that the state of NS is asymptotically tracking the state of the given reference model when the state of LS is asymptotically tracking the constructed dynamic auxiliary tracking target. Finally, the numerical simulation is given to verify the effectiveness of the theoretical results in this article.

Stabilizability of Riccati Matrix Fractional Delay Differential Equation

In this article, the backstepping control scheme is proposed to stabilize the fractional order Riccati matrix differential equation with retarded arguments in which the fractional derivative is presented using Caputo's definition of fractional derivative. The results are established using Mittag-Leffler stability. The fractional Lyapunov function is defined at each stage and the negativity of an overall fractional Lyapunov function is ensured by the proper selection of the control law. Numerical simulation has been used to demonstrate the effectiveness of the proposed control scheme for stabilizing such type of Riccati matrix differential equations.

THUẬT TOÁN ĐIỀU KHIỂN THEO ĐẦU RA HỆ THỐNG TUYẾN TÍNH KHÔNG DỪNG, SỬ DỤNG CÁC PHƯƠNG PHÁP NHẬN DẠNG THAM SỐ

The problem of control for time-varying linear systems by the output (i.e. without measuring the vector of state variables or derivatives of the output signal) was considered. For the control design, the well-known online procedure for solving the Riccati matrix differential equation is chosen. For synthesis of the observer of state variables, a new approach is proposed, providing the possibility of obtaining monotonous estimates of convergence with the regulation of transition time. The main idea of the synthesis of observers is based on the transformation of the original dynamic system to a linear regression model containing unknown parameters, which in turn were functions of the initial conditions of the state variables of the control object. Then the DREM algorithm is used to estimate the state variables. Some simulations on Matlab/Simulink prove the correctness of the theory built, ensuring the good quality of the response processes.

Symmetries and Zero Modes in Sample Path Large Deviations

Sharp large deviation estimates for stochastic differential equations with small noise, based on minimizing the Freidlin–Wentzell action functional under appropriate boundary conditions, can be obtained by integrating certain matrix Riccati differential equations along the large deviation minimizers or instantons, either forward or backward in time. Previous works in this direction often rely on the existence of isolated minimizers with positive definite second variation. By adopting techniques from field theory and explicitly evaluating the large deviation prefactors as functional determinant ratios using Forman’s theorem, we extend the approach to general systems where degenerate submanifolds of minimizers exist. The key technique for this is a boundary-type regularization of the second variation operator. This extension is particularly relevant if the system possesses continuous symmetries that are broken by the instantons. We find that removing the vanishing eigenvalues associated with the zero modes is possible within the Riccati formulation and amounts to modifying the initial or final conditions and evaluation of the Riccati matrices. We apply our results in multiple examples including a dynamical phase transition for the average surface height in short-time large deviations of the one-dimensional Kardar–Parisi–Zhang equation with flat initial profile.

Riccati matrix differential equation and the discrete order preserving property

In this paper we recall discrete order preserving property related to the discrete Riccati matrix equation. We present results obtained by applying this property to the solutions of the Riccati matrix differential equation.

Optimal order execution under price impact: a hybrid model

In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamics of their aggregated inventory considering a proper scaling limit. The resulting price impact profile is shown to depend on the characteristics and relative importance of their inventories. The model is flexible enough to reproduce the empirically documented power law behavior of the price impact function. For any choice of the market makers characteristics, optimal execution within this modeling approach can be recast as a linear-quadratic stochastic control problem. The value function and the associated optimal trading rate can be obtained semi-explicitly subject to solving a differential matrix Riccati equation. Numerical simulations are conducted to illustrate the performance of the resulting optimal liquidation strategy in relation to standard benchmarks. Remarkably, they show that the increase in performance is determined by a substantial reduction of higher order moment risk.

An Algorithm for Finding Feedback in a Problem with Constraints for One Class of Nonlinear Control Systems

We consider the construction of a feedback according to the Kalman algorithm for a continuous nonlinear control system on a finite time interval with control constraints where the right-hand side of the dynamics equations is linear in control and linearizable in the vicinity of the zero equilibrium position. The solution of an auxiliary optimal control problem with a quadratic functional is used for this task by analogy with the SDRE approach. Because this approach is used in the literature to find suboptimal synthesis in optimal control problems with a quadratic functional with formally linear systems where all coefficient matrices in differential equations and criteria can contain state variables, on a finite time interval it becomes necessary to solve a complicated matrix differential Riccati equations with state-dependent coefficient matrices. Due to the nonlinearity of the system this issue significantly increases the number of calculations for obtaining the coefficients of the gain matrix in the feedback and for obtaining synthesis with a given accuracy in comparison with the Kalman algorithm for linear-quadratic problems. The proposed synthesis construction algorithm is constructed using the extension principle proposed by V.F. Krotov and developed by V.I. Gurman and allows one not only to expand the scope of the SDRE approach to nonlinear control problems with control constraints in the form of closed inequalities, but also to propose a more efficient computational algorithm for finding the matrix of feedback gains in control problems on a finite interval. This article establishes the correctness of the application of the extension principle by introducing analogs of the Lagrange multipliers, which depend on the state and time, and also derives a formula for the suboptimal value of the quality criterion. The presented theoretical results are illustrated by calculating suboptimal feedbacks in the problems of managing three-sector economic systems.

On the Sensitivity Estimation of the Symmetric Matrix Riccati Differential Equation

In this paper, we consider three already known perturbation estimates of the solution to the symmetric matrix Riccati differential equation. The aim of the paper is to analyse experimentally the effectiveness of the bounds considered, to compare their sharpness for problems with increasing conditioning, and to specify the area of application of the bounds analysed. The analytical solution to the scalar Riccati differential equation of one of the experimental models is proved in theorem. The results suggest a new field of research.

Discrete gain scheduling control approach to elliptical orbit rendezvous system with actuator saturation

AbstractThis paper studies the discrete gain scheduling control design problem of elliptical orbit spacecraft rendezvous system with actuator saturation. Due to the presence of actuator saturation, the dynamic performance of the spacecraft rendezvous system degrades significantly. In order to improve the dynamic performance of the system, a discrete gain scheduling control approach is adopted to construct a group of time‐invariant ellipsoidal invariant sets, which can be used to determine the switching points of the discrete gain scheduling control. By choosing some discrete parameter values, the discrete gain scheduling control is obtained from a solution of a periodic Riccati matrix differential equation. Under the control obtained, the dynamic performance of the system is much improved while accomplishing successfully the rendezvous mission of the spacecraft. Finally, a practical example is provided to show the effectiveness of the proposed control design approach.

Guidance for hypersonic re‐entry using receding horizon control with finite terminal weighting matrix

AbstractIn this article, nominal‐trajectory‐based guidance approach for hypersonic reentry vehicles is considered using the Vinh's equations. The nominal trajectory is generated via pseudo‐spectral method and then tracked by receding horizon control approach. Specially, several strategies are adopted to simplify the practical application. First, we formulate the receding optimal problem discretely using the approximated discrete linear state error dynamics. Thus, the differential matrix Riccati equation is substituted by a difference matrix Riccati equation. Second, we set the terminal state weighting matrix finite which brings flexibility of adjusting the sample period and prediction horizon. Third, the time‐varying state error dynamics is approximated by time invariant system. Lastly, instead of obtaining terminal weighting matrices which satisfy a linear matrix inequality using the LMI toolbox, we set them the same constant matrix. Naturally, numerical simulation is available to verify the validity and efficiency of the proposed approach.

Moment-Driven Predictive Control of Mean-Field Collective Dynamics

The synthesis of control laws for interacting agent-based dynamics and their mean-field limit is studied. A linearization-based approach is used for the computation of sub-optimal feedback laws obtained from the solution of differential matrix Riccati equations. Quantification of dynamic performance of such control laws leads to theoretical estimates on suitable linearization points of the nonlinear dynamics. Subsequently, the feedback laws are embedded into nonlinear model predictive control framework where the control is updated adaptively in time according to dynamic information on moments of linear mean-field dynamics. The performance and robustness of the proposed methodology is assessed through different numerical experiments in collective dynamics.

Spectral stability of pattern-forming fronts in the complex Ginzburg–Landau equation with a quenching mechanism

We consider pattern-forming fronts in the complex Ginzburg–Landau equation with a traveling spatial heterogeneity which destabilises, or quenches, the trivial ground state while progressing through the domain. We consider the regime where the heterogeneity propagates with speed c just below the linear invasion speed of the pattern-forming front in the associated homogeneous system. In this situation, the front locks to the interface of the heterogeneity leaving a long intermediate state lying near the unstable ground state, possibly allowing for growth of perturbations. This manifests itself in the spectrum of the linearisation about the front through the accumulation of eigenvalues onto the absolute spectrum associated with the unstable ground state. As the quench speed c increases towards the linear invasion speed, the absolute spectrum stabilises with the same rate at which eigenvalues accumulate onto it allowing us to rigorously establish spectral stability of the front in . The presence of unstable absolute spectrum poses a technical challenge as spatial eigenvalues along the intermediate state no longer admit a hyperbolic splitting and standard tools such as exponential dichotomies are unavailable. Instead, we projectivise the linear flow, and use Riemann surface unfolding in combination with a superposition principle to study the evolution of subspaces as solutions to the associated matrix Riccati differential equation on the Grassmannian manifold. Eigenvalues can then be identified as the roots of the meromorphic Riccati–Evans function, and can be located using winding number and parity arguments.

Synchronization of high‐dimensional Kuramoto models with nonidentical oscillators and interconnection digraphs

This paper investigates some synchronization behaviors of high-dimensional Kuramoto models with nonidentical oscillators and interconnection digrphs. By using the matrix Riccati differential equation of the state error variables, it is proved that a high-dimensional Kuramoto model can achieve local practical synchronization when the interconnection digraph is strongly connected or has a spanning tree. Compared with the existing practical synchronization literature, the results are based on general digraphs instead of complete graphs. Moreover, the complete synchronization is proved for proportional nonidentical oscillators limited on a half-sphere and interconnected by a strongly connected digraph. Finally, some numerical simulations are given to validate the obtained theoretical results.

Algorithm for Finding Feedback in a Problem with Constraints for One Class of Nonlinear Control Systems

For a continuous nonlinear control system on a finite time interval with control constraints, where the right-hand side of the dynamics equations is linear in control and linearizable in the vicinity of the zero equilibrium position, we consider the construction of a feedback according to the Kalman algorithm. For this, the solution of an auxiliary optimal control problem with a quadratic functional is used by analogy with the SDRE approach.Since this approach is used in the literature to find suboptimal synthesis in optimal control problems with a quadratic functional with formally linear systems, where all coefficient matrices in differential equations and criteria can contain state variables, then on a finite time interval it becomes necessary to solve a complicated matrix differential Riccati equations, with state-dependent coefficient matrices. This circumstance, due to the nonlinearity of the system, in comparison with the Kalman algorithm for linear-quadratic problems, significantly increases the number of calculations for obtaining the coefficients of the gain matrix in the feedback and for obtaining synthesis with a given accuracy. The proposed synthesis construction algorithm is constructed using the extension principle proposed by V. F. Krotov and developed by V. I. Gurman and allows not only to expand the scope of the SDRE approach to nonlinear control problems with control constraints in the form of closed inequalities, but also to propose a more efficient computational algorithm for finding the matrix of feedback gains in control problems on a finite interval. The article establishes the correctness of the application of the extension principle by introducing analogs of the Lagrange multipliers, depending on the state and time, and also derives a formula for the suboptimal value of the quality criterion. The presented theoretical results are illustrated by calculating suboptimal feedbacks in the problems of managing three-sector economic systems.

Solution of Riccati matrix differential equation using new approach of variational iteration method

To obtain the approximate solution to Riccati matrix differential equations, a new variational iteration approach was ‎proposed, which is suggested to improve the accuracy and increase the convergence rate of the approximate solutons to the ‎exact solution. This technique was found to give very accurate results in a few number of iterations. In this paper, the ‎modified approaches were derived to give modified solutions of proposed and used and the convergence analysis to the exact ‎solution of the derived sequence of approximate solutions is also stated and proved. Two examples were also solved, which ‎shows the reliability and applicability of the proposed approach. ‎

Sensitivity of the Solution to Nonsymmetric Differential Matrix Riccati Equation

Nonsymmetric differential matrix Riccati equations arise in many problems related to science and engineering. This work is focusing on the sensitivity of the solution to perturbations in the matrix coefficients and the initial condition. Two approaches of nonlocal perturbation analysis of the symmetric differential Riccati equation are extended to the nonsymmetric case. Applying the techniques of Fréchet derivatives, Lyapunov majorants and fixed-point principle, two perturbation bounds are derived: the first one is based on the integral form of the solution and the second one considers the equivalent solution to the initial value problem of the associated differential system. The first bound is derived for the nonsymmetric differential Riccati equation in its general form. The perturbation bound based on the sensitivity analysis of the associated linear differential system is formulated for the low-dimensional approximate solution to the large-scale nonsymmetric differential Riccati equation. The two bounds exploit the existing sensitivity estimates for the matrix exponential and are alternative.

Discrete Riccati matrix equation and the order preserving property

It is known that if a symmetric matrix differential equation has the order preserving property and the matrix dimension is at least 2, then this equation is the Riccati matrix differential equation (see [20]). In this paper we prove that a similar statement holds for discrete matrix equations as well. In the proof we use a new approach, in which we extend a discrete function to a continuous one by using the iteration theory and then apply the known result for the continuous case.