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A reduction technique for Generalised Riccati Difference Equations
- Publication Year :
- 2013
-
Abstract
- This paper proposes a reduction technique for the generalised Riccati difference equation arising in optimal control and optimal filtering. This technique relies on a study on the generalised discrete algebraic Riccati equation. In particular, an analysis on the eigen- structure of the corresponding extended symplectic pencil enables to identify a subspace in which all the solutions of the generalised discrete algebraic Riccati equation are coin- cident. This subspace is the key to derive a decomposition technique for the generalised Riccati difference equation that isolates its nilpotent part, which becomes constant in a number of steps equal to the nilpotency index of the closed-loop, from another part that can be computed by iterating a reduced-order generalised Riccati difference equation.
- Subjects :
- Mathematics - Dynamical Systems
Mathematics - Optimization and Control
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1305.5311
- Document Type :
- Working Paper