1992 ACCIWP8

The discrete time Riccati equation related to the Ho, control problem
Anton A. Stoorvogel - Arie J.T.M. Weeren
Dept. of Mathematics Department of Econometrics
Eindhoven University of Technology Tilburg University
P.O. Box 513 P.O. Box 90153
5600 MB Eindhoven 5000 LE Tilburg
The Netherlands The Netherlands

Abstract 2 Problem formulation

The H< control problem has been wlved recently In this paper we investigate positive semi-definite ma-
with the use of discrete time algebraic Riccati equa- trices P such that
tions. In this paper, we investigate this Riccati equa- V(P) := BTPB + DTDI > 0,
tion. We derive recursive methods to find the sta- R(P) := I-DD4D2-E7PE + (E7PB + D2TD1)
bilizing solution of this Riccati equation. Moreover, x V(P)-I (BTPE + DTD) > 0.
we derive several properties of the class of positive
semi-definite solutions of this equation. (2.1)
and such that the following algebraic Riccati equation
1 Introduction is satisfied:
The discrete time algebraic Riccati equation has been
investigated extensively in the literature (see e.g. [3,
P = ATPA+CTC -

ETPSA + DTCC G(P)-'

5, 7, 8, 12]). However, most of this work was based
on the algebraic Riccati equation appearing in linear (BTPA+D2C) (2.2)
quadratic control. Recently, the HeMo control problem
for discrete time systems was solved (see e.g. [1, 2, 4, where
6, 9]). This gave rise to a different kind of algebraic
GP:(DTDI TD2 + (BT\D
Er) P (B E)
Riccati equation. This paper is concerned with this
Riccati equation. It should be noted that this Riccati
YDTD D1TD2-I)
equation also arises in differential games (see e.g. [2]). (2.3)
We show that we can always use a recursive method
to find the stabilizing solution of this equation (as is The condition (2.1) guarantees that the matrix G(P)
done in [3] for the linear quadratic control algebraic is invertible.
Riccati equation). Moreover, we derive several prop- We are particularly interested in solutions P of (2.1)
erties of the solutions to this equation. It should be and (2.2) such that the following matrix is asymptot-
noted that this Riccati equation has less elegant prop- ically stable
erties, mainly because of an indefinite non-linear term
and because we can not a priori guarantee existence Ad :=A-(B E)G(P)- 1( ;g+1 c) (2.4)
of solutions.
Our research is partially based on [11]. A matrix P that satisfies (2.1) and (2.2) and is such
The notation will be fairly standard. By ,,( and that Ad is asymptotically stable is called the stabi-
zu,w, we denote the state x and the output z of a lizing solution of the algebraic Riccati equation.
system after applying inputs u and w and with initial The interest for this Riccati equation stems from
condition z(0) = f. Moreover 42 denotes the class H control theory. But, by setting E = 0 and
of square-summable functions and 11 112 denotes the
standard 4-norm. D2 = 0, we reobtain the Riccati equation from lin-
ear quadratic control theory. Therefore, the Riccati
'The research of dr. A.A. Stoorvogel has been made possi-
equation in this paper is a generalization of the Ric-
ble by a fellowship of the Royal Netherlands Academy of Sci- cati equation appearing in linear quadratic control.
ences and Arts. We first point out the relation between this Riccati

1128

Authorized licensed use limited to: Univ Landesbibliothek Duesseldorf. Downloaded on May 02,2024 at 07:25:04 UTC from IEEE Xplore. Restrictions apply.
equation and Ha, control theory (see e.g. [4, 6, 9]). The goal of this paper is to derive properties of the
We define the system S by Riccati equation (2.2) and specifically to derive meth-
: f r(kq-1)=Ax(k)+ Bu(k)+ Ew(k), ods of checking the existence of solutions to this Ric-
cati equation.
* z(k) = Cx(k) + Diu(k) + D2w(k).
(2.5)
where x E 1?n, u E %', w E iVI and z E IZP. Then
3 Properties of the algebraic
we have: Riccati equation
Theorem 2.1: Let S be given by (2.5). Assume We first show that the stabilizing solution of the al-
that (A, B, C, D1) is left invertible and has no invari- gebraic Riccati equation is unique:
ant zeros on the unit circle. Then the following 2
statements are equivalent: Lemma 3.1: There is at most one stabilizing so-
lution P of the algebraic Riccati equation. Moreover,
(i) There erists a static feedback, u = Flx + F2w this matrix is symmetric. 0
which stabilizes S and makes the Ha, norm from
w to z less than 1, A standard method to find solutions of the algebraic
(ii) There exists a positive semi-definite matrix Pt Riccati equation, is to relate solutions of the algebraic
such that P = P.t satisfies (2.1) and (2.2) such Riccati equation to invariant subspaces (see e.g. [4,
that Ad,, defined by (2.4), is asymptotically sta- 10, 12]). For this, we first need a definition:
ble. Definition 3.2: A subspace X is called a modal sub-
In case, part (ii) is satisfied a feedback u = Frx+F2w space with respect to the open unit disc of the pair
satisfying part (i) is given by (H1, H2) if X is the largest subspace V for which there
exist a matrix W and an asymptotically stable matrix
F1 := -V(P,&)-' (BTP.tA + DTC) A such that V = im W and H1W = H2WA. 0
F2 := -V(Pst)-' (BTPstE + DT D2)
Now we are able to give the following method to de-
Moreover Pt satisfies: rive stabilizing solutions of the algebraic Riccati equa-
(TpSg = wEt2 inf { 1 1zu,w,e12 - 1IW12 I 2 such
sup u612 tion:
e
that xu,c,, 12}
E Lemma 3.3 : Assume that the matrix S is invertible
where
for all e E 1n. 0
This theorem shows the importance of the Riccati
S-DTDI D TD2A
S
DT Di DfD2-I
equation investigated in this paper. Throughout this
paper when we refer to a stabilizing solution of the A matrix P is the unique stabilizing solution of the
algebraic Riccati equation, we mean a matrix P sat- algebraic Riccati equation if and only if P satisfies
isfying part (ii) of the above theorem. Moreover we (2.1) and the subspace
will denote this matrix by P.t. Uniqueness of the
stabilizing solution will be shown in lemma 3. 1. X:=Im (p) (3.1)
We first have to clarify one point. In [1, 2], a discrete
time algebraic Riccati equation appears of a different is the modal subspace with respect to the open unit
form. The next lemma shows the relationship. disc for the generalized symplectic pair (H1,H2)
where
Lemma 2.2: Assume that D2 = 0 and
I x
D (C DI) =(O 1). Hi:=(Z
and= (Q 5' I ) H2 := 0 AT I

Then a matrix P satisfies (2.1) and (2.2) if and only and

if
R:= I-ET (I + PBBT)- PE > 0
and
X := (B E) S ET I

P = CTC+ ATP (I + [BBT - EET]P)' A. A := A- (B E)S-I (DT) C,

Moreover Ad, defined by (2.4), satisfies:
ACd = (I + [BBT- EET]P) 1 A. 0
Q := CTC-CT(D1 D2)S-' DITC. 0

1129
Authorized licensed use limited to: Univ Landesbibliothek Duesseldorf. Downloaded on May 02,2024 at 07:25:04 UTC from IEEE Xplore. Restrictions apply.
 Remar k: Assume that D1 is injective and that Lemma 3.8 : Assume the algebraic Riccati equation
(A, B, C, D1) has no invariant zeros on the unit circle. has a stabilizing solution P8s > 0.
In that case, the existence of a stabilizing solution Any solution P of (2.1) and (2.2) suck that Au, de-
to the algebraic Riccati equation implies that S is fined by (32,), is asymptotically stable stisfies P >
invertible. Pat. 0
Basically this reduces the problem of finding the sta-
bilizing solution of the algebraic Riccati equation to The above sequence of lemmas gives us the following
the problem of solving a generalied eigenvalue pro- interesting result:
blem. However, if the matrix S is not invertible, then
this technique is not applicable. Therefore, the main Theorem- 3.9 : Asme the stabilizixg solution of
purpose of this paper is to develop a universally ap the algebraic Riccati equation exists. The system
plicable method to calculate the stabilizing solution. (A, B, C, DI) is minimum-phase if and onl if the sta-
We will give a recursive method in section 4. bilizing solution is the smallest posiive semi-definite
Note that the feedback suggested in theorem 2.1 has solution of the algebraic Ricati eqation. 0
the following closed loop state matrix
Au := A-BV(P)- (BTPA+DT C) (3.2) 4 A recursion to find the sta-
Therefore, it is interesting to know whether this ma-
bilizing solution
trix will be asymptotically stable. In the next lemma In this section we investigate the following sequence:
(see [111) we show that stability of Ad implies stabil-
ity of Au: pk+ := ATPkA+ CC-
Lemma 3.4: Assume that Pt 2 0 is the stabilizing
solution of the algebmic Riccati equation. Then the xG(Pk)t (B1P&A+DTC) (4.1)
matrix A., defined by (3.2) with P = P5t, is asymp-
totically stabk. 0 for some initial condition Po = Q, where
(DTD
:= ILD
DTD2 BT
We can also show that Au is asymptotically stable G(P) D~2I/ P (B E)
under some other conditions:
(4.2)
Lemma 3.5: If P > 0 satisfies (2.1) and (2.2) then
the matrix A, defined by (3.2) is asymptotically sta- and Mt denotes the Moore-Penrose inverse of the ma-
ble. trix M. Moreover, we require that the Pk are such
Assume that (A, B, C, DI) is left invertible and that:
minimum-phase. Then any P > 0 satisfying (2.1)
and (2.2) is such that A,, is asymptotically stable. 0 V(P,) = BTPkB + D TDi .0, (4.3)
R(P5) = I-D2TD2 + (rTP5B + D2TDI) V(P1)t
The following lemma states the necessity of the as- x (BTP5E + DT D2)-ETP7P5E > 0 (4A4)
sumption of left-invertibility as made in theorem
(2.1). and
Lemma 3.6: If there eists a matrix P > 0 which
satisfies (2.1) and (2.2) such that A,, defined by
kerV(Pk)Cker ( ATPkB+C"D1 ) (4.5)
(5.2), is stable, then the system (A, B,C, D) is left- We are interested in the stabilizing solution P1t of the
invertible. 0 algebraic Riccati equation. In this section we investi-
gate for which choices of the 'iitial condition Po = Q,
We find the following corollary: the solution of the above Riccati difference equation
converges to P,t.
Corollary 3.7 : If there exists a positive semi- First, we investigate the standard choice of Po = 0.
definite stabilizing solution of the algebraic Ric- The following lemma investigates existence and con-
cati equation then the system (A,B,C,Di) is left- vergence of the resulting sequence.
invertible. 0
Lemma 4.1: Assume that (A,B,C,D1) is left in-
In the next lemma we compare the stabilizing solution vertibe and assume that there eists a positive semi-
with solutions which make Au stable. definite matrix P which satisfies the algebraic Riccati

1130

Authorized licensed use limited to: Univ Landesbibliothek Duesseldorf. Downloaded on May 02,2024 at 07:25:04 UTC from IEEE Xplore. Restrictions apply.
equation, i.e. (2.2) and (2.1). Then there exists a
sequence {Pk}J;= that satisfies the Riccati difference
equation (4.1) with Po = 0. Moreover, Pk satisfies
(449), (4.4),(4.5) and is an increasing sequence which
converges to a matrix P. < P and P. is a solution
of the algebraic Riccati equation, i.e. (2.2) and (2.1)
are satisfied for P = P.. 0 This lemma gives us the opportunity to find a starting
Note that, because (A, B, C, DI) is left-invertible, af-
ter n steps with Po = 0 the matrix V(Pk) will be
invertible, i.e. we only have to be concerned with the
Moore-Penrose inverse for at most n steps.
The following lemma characterizes when the matrices
Pk with P0 = 0 converge to the stabilizing solution of
the algebraic Riccati equation.
Theorem 4.2 : Assume there exists a stabilizing
solution Pt > 0 of the algebraic Riccati equation.
The solution Pt of (4.1) with Po = 0 converges to P,t
if and only if the system (A, B, C, D1) is minimum-
phase. 0
Next, we give a lemma which shows how to find the
solution of the special algebraic Riccati equation re-
lated to the linear quadratic control problem. This
lemma was already given in [3] under some restrictive
assumptions.
Lemma 4.3: Assume that (A, B) is stabilizable and
assume that (A, B, C, D1) is left-invertible and has no
invariant zeros on the unit circle. Then there exists
a matrix L>0 such that K :=BTLB+DTDi > 0,
L = ATLA+CTC_(ATLB+CTDi)K-l
x(BTLA + D C),
and such that
A - BK-'(BTLA+DT C)
is asymptotically stable.
For any matrix M > L we define the sequence Me by
Mo = M,
Mj+j = ATMiA + CTC-(ATMiB + CTDI)
xK5'(BTMiA + DTC)
(4.6)
where Ki := BTMiB + DTDI. Then the sequence
{Mj} is well-defined, i.e. Ki is invertible for all i,
bounded and converges to L exponentially as i
X3
Lemma 4.4 Assume that (A, B) is stabilizable
and assume that (A, B, C, D1) has no invariant ze-
ros on the unit circle. Let F be an arbitrary matrix
such that A ± BF is asymptotically stable. Define
Authorized licensed use limited to: Univ Landesbibliothek Duesseldorf. Downloaded on May 02,2024 at 07:25:04 UTC from IEEE Xplore. Restrictions apply.
M as the unique solution of the following Lyapunov
equation:
M = (A+ BF)TM(A + BF) + (C + DF)T(C + DF)
Then we have M > L where L is defined by lemma
4.3. 0
point for the recursion of lemma 4.3.
The following theorem gives a recursive method to
calculate the stabilizing solution of the algebraic Ric-
cati equation.
Theorem 4.5 Let L be as defined in lemma
4.3. Assume that (A,B,C,D1) has no zeros on the
unit circle and that there exists a stabilizing solution
P,t > 0 of the algebraic Riccati equation. Define the
following recursion:
Po = Li
Pk+, = ATPA + CC - B PkA+1D4)
xG(Pk) ETPk A+ DTCJ (4.7)
where G is defined by (4.2). Then Pk is well-defined
for all k, i.e. the matrix G(Pk) is invertible for all k,
and Pk converges to P5t exponentially. 0
Therefore, our method to determine the stabilizing
solution of the algebraic Riccati equation has three
stages:
* Determine a stabilizing feedback F and solve a
Lyapunov equation to determime M as is done in
lemma 4.4.
* Determine L via the exponentially convergent al-
gorithm of lemma 4.3.
* Determine P,t via the exponentially convergent
algorithm of theorem 4.5.
The theory developed in this paper guarantees that
the above method works if the system (A, B, C, D1)
has no invariant zeros on the unit circle.
5 Conclusions
In this paper we have given an recursive algorithm
to determine the stabilizing solution of the algebraic
Riccati equation. We have also shown exponential
convergence of this algorithm.
0 Although we have given some properties of this al-
gebraic Riccati equation, the main open problem is
to derive more of these properties. At this moment
much less is known about this general equation then
for the special Riccati equation related to the linear
quadratic control problem.
1131
 References
[1] T. BA§AR, "A dynamic games approach to con-
troller design: disturbance rejection in discrete
time", in Proc. CDC, Tampa, 1989, pp. 407-414.
[2] T. BAIAR AND P. BERNHARD, Ho0 -optimal
control and related misimaz design problems:
a dynamic game approach, Birkhauser, Boston,
1991.
[3] S.W. CHAN, G.C. GOODWIN, AND K.S. SIN,
"Convergence properties of the Riccati difference
equation in optimal filtering of nonstabilizable
system?, IEEE Trans. Aut. Contr., 29 (1984),
pp. 110-118.
[4] P.A. IGLESIAS AND K. GLOVER, "State space
approach to discrete time H0, control", To ap-
pear in Int. J. Contr., 1991.
[5] P. LANCASTER, A.C.M. RAN, AND
L. RODMAN, "Hermitian solutions of the discrete
algebraic Riccati equation", Int. J. Contr., 44
(1986), pp. 777-802.
[6] D.J.N. LIMEBEER, M. GREEN, AND
D. WALKER, 'Discrete time HO, control", in
Proc. CDC, Tampa, 1989, pp. 392-396.
[7] A.C.M. RAN AND R. VREUGDENHILL, "Ex-
istence and comparison theorems for algebraic
Riccati equations for continuous- and discrete-
time systems", Lin. Alg. Appl., 99 (1988),
pp. 63-83.
[81 L. SILVERMAN, "Dwicrete Riccati equations: al-
ternative algorithms, asymptotic properties, and
system theory interpretations", Control and Dy-
namical Systems, 12 (1976), pp. 313-386.
[9} A.A. STOORVOGEL, "The discrete time HN
control problem with measurement feedback",
To appear in SIAM J. Contr. & Opt.
[101 -, The H0, control problem: a state space
approacA, Prentice-Hall, Englewood Cliffs, 1992.
[11] A.J.T.M. WEEREN, Solving discrete time alge-
braic Riccati eqations, Master's thesis, Eind-
hoven University of Technology, 1991.
[12] H.K. WIMMER, "Geometry of the discrete-time
algebraic Riccati equation", J. Math. Syst. Es-
tim. Control, 2 (1992), pp. 123-132.

1132

Authorized licensed use limited to: Univ Landesbibliothek Duesseldorf. Downloaded on May 02,2024 at 07:25:04 UTC from IEEE Xplore. Restrictions apply.