Grassman Manifolds and Global Properties of the Riccati Equation
Riccati differential equations are studied as vector fields on a Grassman manifold. Such manifolds serve as a compactification for the Riccati equations.
Martin, Clyde↗
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Periodic solutions of the Riccati equation
It is shown that the Riccati equations of control theory are generically Morse-Smale. The existence of periodic solutions is explicitly demonstrated. The principal contribution here is thought to be the presentation of a mathematical structure in which to study the Riccati equation. Mathematical structures already in the literature are systematically exploited. It is also shown that most problems of the Riccati equation can be reduced to problems in linear algebra. A framework is developed for studying the Riccati equation, and the proof that the Morse-Smale conditions are satisfied is outlined.
Hermann, R.↗
On Hilbert-Schmidt norm convergence of Galerkin approximation for operator Riccati equations
An abstract approximation framework for the solution of operator algebraic Riccati equations is developed. The approach taken is based on a formulation of the Riccati equation as an abstract nonlinear operator equation on the space of Hilbert-Schmidt operators. Hilbert-Schmidt norm convergence of solutions to generic finite dimensional Galerkin approximations to the Riccati equation to the solution of the original infinite dimensional problem is argued. The application of the general theory is illustrated via an operator Riccati equation arising in the linear-quadratic design of an optimal feedback control law for a 1-D heat/diffusion equation. Numerical results demonstrating the convergence of the associated Hilbert-Schmidt kernels are included.
Rosen, I. G.↗
Iterative computation of the optimal H(infinity) norm by using two-Riccati-equation method
The two-Riccati-equation method solution to a standard H(infinity) control problem can be used to characterize all possible stabilizing optimal or suboptimal H(infinity) controllers if the optimal or suboptimal H(infinity) norm is available in the literature. An iterative algorithm for computing the optimal H(infinity) norm is proposed. The algorithm employs fixed-point, double secant and bisection to guarantee a super linear convergence.
Chang, B. C.↗
A note on the regularity of solutions of infinite dimensional Riccati equations
This note is concerned with the regularity of solutions of algebraic Riccati equations arising from infinite dimensional LQR and LQG control problems. We show that distributed parameter systems described by certain parabolic partial differential equations often have a special structure that smoothes solutions of the corresponding Riccati equation. This analysis is motivated by the need to find specific representations for Riccati operators that can be used in the development of computational schemes for problems where the input and output operators are not Hilbert-Schmidt. This situation occurs in many boundary control problems and in certain distributed control problems associated with optimal sensor/actuator placement.
Burns, John A.↗
Lie theoretic aspects of the Riccati equation
Various features of the application of Lie theory to matrix Riccati equations, of basic importance in control and system theories, are discussed. Particular consideration is given to centralizer foliation, the Cartan decomposition, matrix Riccati equations as Lie systems on Grassmanians, local analysis near a zero point of a vector field, linearization in homogeneous space, the tangent bundle in terms of partitioned matrices, and stability properties of fixed points of Riccati vector fields.
Hermann, R.↗
On solutions of the Riccati equation in optimization problems.
Algorithm for computing matrix Riccati equation solution in optimization problems
MATRIX ANALYSIS↗
Remarks on the infinite dimensional Riccati equation.
Existence and uniqueness theorem of Riccati equation arising in solution of optimal linear regulator problems in Hilbert space
UNIQUENESS THEOREM↗
Constant directions of the Riccati equation
A constant direction of the Riccati equation associated with a class of singular discrete-time optimization problems is defined. The set of constant directions is completely characterized using a control viewpoint. Constant directions are used to reduce the computational complexity of the optimal system. Application to optimal filtering in colored noise is given.
Rappaport, D.↗
Computational complexities and storage requirements of some Riccati equation solvers
The linear optimal control problem of an nth-order time-invariant dynamic system with a quadratic performance functional is usually solved by the Hamilton-Jacobi approach. This leads to the solution of the differential matrix Riccati equation with a terminal condition. The bulk of the computation for the optimal control problem is related to the solution of this equation. There are various algorithms in the literature for solving the matrix Riccati equation. However, computational complexities and storage requirements as a function of numbers of state variables, control variables, and sensors are not available for all these algorithms. In this work, the computational complexities and storage requirements for some of these algorithms are given. These expressions show the immensity of the computational requirements of the algorithms in solving the Riccati equation for large-order systems such as the control of highly flexible space structures. The expressions are also needed to compute the speedup and efficiency of any implementation of these algorithms on concurrent machines.
Utku, Senol↗
State-Dependent Riccati Equation Regulation of Systems with State and Control Nonlinearities
The state-dependent Riccati equations (SDRE) is the basis of a technique for suboptimal feedback control of a nonlinear quadratic regulator (NQR) problem. It is an extension of the Riccati equation used for feedback control of linear problems, with the addition of nonlinearities in the state dynamics of the system resulting in a state-dependent gain matrix as the solution of the equation. In this paper several variations on the SDRE-based method will be considered for the feedback control problem with control nonlinearities. The control nonlinearities may result in complications in the numerical implementation of the control, which the different versions of the SDRE method must try to overcome. The control methods will be applied to three test problems and their resulting performance analyzed.
Beeler, Scott C.↗
Structural properties of the equilibrium solutions of Riccati equations
Structural properties of equilibrium solutions of quadratic matrix equation, using variational interpretation of associated Riccati equation, transform techniques and Parseval formula
Brockett, R. W.↗
Sensitivity analysis of Lyapunov and Riccati equations with application to controls-structures integrated design
Controls-structure integrated design is a complicated multidisciplinary design optimization problem which involves the state equations pertaining to open-loop eigenvalues and control laws. In order to alleviate the intensity of the computation, this study uses the adjoint variable method to derive sensitivity equations for the eigenvalue, Liapunov, and Riccati equations. These individual sensitivity equations are then combined together to form the multidisciplinary sensitivity equations for the control structure integrated design problems. A set of linear sensitivity equations, proportional in number to the number of performance functions involved in the optimization process, are solved. This proposed approach may provide a great saving in computer resources. The validity of the newly developed sensitivity equations is verified by numerical examples.
Hou, Gene↗
Convergence of Galerkin approximations for operator Riccati equations: A nonlinear evolution equation approach
An approximation and convergence theory was developed for Galerkin approximations to infinite dimensional operator Riccati differential equations formulated in the space of Hilbert-Schmidt operators on a separable Hilbert space. The Riccati equation was treated as a nonlinear evolution equation with dynamics described by a nonlinear monotone perturbation of a strongly coercive linear operator. A generic approximation result was proven for quasi-autonomous nonlinear evolution system involving accretive operators which was then used to demonstrate the Hilbert-Schmidt norm convergence of Galerkin approximations to the solution of the Riccati equation. The application of the results was illustrated in the context of a linear quadratic optimal control problem for a one dimensional heat equation.
Rosen, I. G.↗
Integration-free interval doubling for Riccati equation solutions
Starting with certain identities obtained by Reid (1972) and Redheffer (1962) for general matrix Riccati equations (RE's), we give various algorithms for the case of constant coefficients. The algorithms are based on two ideas - first, relate the RE solution with general initial conditions to anchored RE solutions; and second, when the coefficients are constant, the anchored solutions have a basic shift-invariance property. These ideas are used to construct an integration-free, superlinearly convergent iterative solution to the algebraic RE. Preliminary numerical experiments show that our algorithms, arranged in square-root form, provide a method that is numerically stable and appears to be competitive with other methods of solving the algebraic RE.
Sidhu, G. S.↗
An improved V-Lambda solution of the matrix Riccati equation
The authors present an improved algorithm for computing the V-Lambda solution of the matrix Riccati equation. The improvement is in the reduction of the computational load, results from the orthogonality of the eigenvector matrix that has to be solved for. The orthogonality constraint reduces the number of independent parameters which define the matrix from n-squared to n (n - 1)/2. The authors show how to specify the parameters, how to solve for them and how to form from them the needed eigenvector matrix. In the search for suitable parameters, the analogy between the present problem and the problem of attitude determination is exploited, resulting in the choice of Rodrigues parameters.
Bar-Itzhack, Itzhack Y.↗
Solution of the algebraic matrix Riccati equation via Newton-Raphson iteration.
Algebraic matrix Riccati differential equation solution by Newton-Raphson iteration method
Blackburn, T. R.↗
A general algorithm for solving the algebraic Riccati equation
The generalized eigenvalue problem provides a suitable framework for reliable solutions of many system theoretic, control, and estimation problems. A general algorithm for solving the matrix algebraic Riccati equation (ARE) which utilizes a pencil structure is described here. This algorithm avoids unnecessary inversion of cost or transition matrices, making it a numerically sound way to solve for the gains and/or ARE with singular quadratic costs, for cases satisfying detectability and stabilizability conditions. Examples are solution with discrete dead-beat control, noiseless measurements in Kalman filters and time-delays in discrete-time systems, which cause difficulties in the Hamiltonian standard eigenvalue problem formulation. The ARE algorithm implementatiton and numerical examples are shown.
Walker, R. A.↗