On the Existence of Block-Diagonal Solutions to Lyapunov and $\mathcal{H}_{\infty}$ Riccati Inequalities

In this paper, we describe sufficient conditions when block-diagonal solutions to Lyapunov and $\mathcal{H}_{\infty}$ Riccati inequalities exist. In order to derive our results, we define a new type of comparison systems, which are positive and are computed using the state-space matrices of the original (possibly nonpositive) systems. Computing the comparison system involves only the calculation of $\mathcal{H}_{\infty}$ norms of its subsystems. We show that the stability of this comparison system implies the existence of block-diagonal solutions to Lyapunov and Riccati inequalities. Furthermore, our proof is constructive and the overall framework allows the computation of block-diagonal solutions to these matrix inequalities with linear algebra and linear programming. Numerical examples illustrate our theoretical results.
Comment: This is an extended technical report. The main results have been accepted for publication as a technical note in the IEEE Transactions on Automatic Control