A note on Riccati matrix difference equations

Pierre del Moral (1) , Emma Horton (1)

1 ASTRAL - Méthodes avancées d’apprentissage statistique et de contrôle

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.

Mots clés: 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

Domaines: Probabilités [math.PR]

Pierre del Moral, Emma Horton. A note on Riccati matrix difference equations. SIAM Journal on Control and Optimization, 2022. ⟨hal-03299378⟩