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14 riccati equations and their solution 14 1 introduction 14 1 14 2 optimalcontrolandfiltering motivation 14 2 14 3 riccati differential equation 14 3 14 4 riccati algebraic equation 14 ...

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      ✐ ✐                                                                                                                                     ✐      ✐
                                                                                                            14
                                                                              Riccati Equations
                                                                             and their Solution
                                                                         14.1  Introduction......................................................14-1
                                                                         14.2  OptimalControlandFiltering:Motivation....14-2
                                                                         14.3  Riccati Differential Equation............................14-3
                                                                         14.4  Riccati Algebraic Equation...............................14-6
                                                                               General Solutions • Symmetric Solutions
                                                                               • Definite Solutions
                                                                         14.5  Limiting Behavior of Solutions......................14-13
                                                                         14.6  OptimalControlandFiltering:
                                                                               Application......................................................14-15
                                                                         14.7  NumericalSolution.........................................14-19
                                                                               Invariant Subspace Method • MatrixSignFunction
                           Vladimír Kuceraˇ                                    Iteration • Concluding Remarks
                           CzechTechnical University and Institute of    Acknowledgments.....................................................14-21
                           Information Theory and Automation             References ..................................................................14-21
                           14.1 Introduction
                           Anordinarydifferential equation of the form
                                                            x˙(t) +f (t)x(t)−b(t)x2(t)+c(t) = 0                           (14.1)
                           is knownasa Riccati equation, deriving its name from Jacopo Francesco, Count Riccati (1676–1754) [1],
                           whostudiedaparticularcaseofthisequationfrom1719to1724.
                              For several reasons, a differential equation of the form of Equation 14.1, and generalizations thereof
                           comprise a highly significant class of nonlinear ordinary differential equations. First, they are intimately
                           related to ordinary linear homogeneous differential equations of the second order. Second, the solutions
                           of Equation 14.1 possess a very particular structure in that the general solution is a fractional linear
                           functionintheconstantofintegration.Inapplications,Riccatidifferentialequationsappearintheclassical
                           problemsofthecalculusofvariationsandintheassociateddisciplines of optimal control and filtering.
                              Thematrix Riccati differential equation refers to the equation
                                                    ˙
                                                   X(t)+X(t)A(t)−D(t)X(t)−X(t)B(t)X(t)+C(t)=0                             (14.2)
                           defined on the vector space of real m×n matrices. Here, A,B,C, and D are real matrix functions of
                           the appropriate dimensions. Of particular interest are the matrix Riccati equations that arise in optimal
                           control and filtering problems and that enjoy certain symmetry properties. This chapter is concerned
                                                                                                                           14-1
      ✐                                           “73648_C014” — 2010/7/15 — 15:57 — page1—#1                                                        ✐
      ✐ ✐                                                                                                                                 ✐       ✐
                           14-2                                                         Control System Advanced Methods
                           with these symmetric matrix Riccati differential equations and concentrates on the following four major
                           topics:
                              • Basic properties of the solutions
                              • Existence and properties of constant solutions
                              • Asymptoticbehaviorofthesolutions
                              • MethodsforthenumericalsolutionoftheRiccatiequations
                           14.2 Optimal Control and Filtering: Motivation
                           Thefollowingproblemsofoptimalcontrolandfilteringareofgreatengineeringimportanceandserveto
                           motivate our study of the Riccati equations.
                             Alinear-quadratic optimal control problem consists of the following. Given a linear system
                                                    x˙(t) = Fx(t)+Gu(t),   x(t0) = c, y(t) = Hx(t),                    (14.3)
                           where x is the n-vector state, u is the q-vector control input, y is the p-vector of regulated variables, and
                           F,G,H areconstantrealmatricesoftheappropriatedimensions.Oneseekstodetermineacontrolinput
                           function u over some fixed time interval [t1,t2] such that a given quadratic cost functional of the form
                                                               t
                                                                2  ′          ′             ′
                                                 η(t ,t ,T) =    [y (t)y(t)+u (t)u(t)]dt +x (t )Tx(t ),                (14.4)
                                                    1 2                                       2     2
                                                               t
                                                               1
                           with T being a constant real symmetric (T = T′) and nonnegative definite (T ≥ 0) matrix, is afforded a
                           minimumintheclassofallsolutionsofEquation14.3,foranyinitialstatec.
                             Auniqueoptimalcontrolexistsforallfinite t2−t1 >0andhastheform
                                                                u(t) =−G′P(t,t2,T)x(t),
                           whereP(t,t2,T)isthesolutionofthematrixRiccatidifferential equation
                                                        ˙               ′             ′        ′
                                                      −P(t)=P(t)F+F P(t)−P(t)GG P(t)+H H                               (14.5)
                           subject to the terminal condition
                                                                       P(t2) = T.
                             Theoptimalcontrolisalinearstatefeedback,whichgivesrisetotheclosed-loopsystem
                                                             x˙(t) =[F −GG′P(t,t2,T)]x(t)
                           andyields the minimumcost
                                                                ∗            ′
                                                              η (t1,t2,T) = c P(t1,t2,T)c.                             (14.6)
                             AGaussian optimal filtering problem consists of the following. Given the p-vector random process z
                           modeledbytheequations
                                                                  x˙(t) = Fx(t)+Gv(t),                                 (14.7)
                                                                  z(t) = Hx(t)+w(t),
                           where x is the n-vector state and v,w are independent Gaussian white random processes (respectively,
                           q-vector and p-vector) with zero means and identity covariance matrices. The matrices F,G, and H are
                           constant real ones of the appropriate dimensions.
      ✐                                         “73648_C014” — 2010/7/15 — 15:57 — page2—#2                                                       ✐
      ✐ ✐                                                                                                                                            ✐       ✐
                             Riccati Equations and their Solution                                                                 14-3
                               Given known values of z over some fixed time interval [t1,t2] and assuming that x(t1) is a Gaussian
                             randomvector,independentofvandw,withzeromeanandcovariancematrixS,oneseekstodetermine
                             anestimatexˆ(t2)ofx(t2) such that the variance
                                                                          ′                            ′
                                                          σ(S,t ,t ) = Ef [x(t )−ˆx(t )][x(t )−ˆx(t )] f                        (14.8)
                                                               1  2           2       2      2      2
                             of the error encountered in estimating any real-valued linear function f of x(t2) is minimized.
                               Auniqueoptimalestimateexistsforallfinitet −t >0andisgeneratedbyalinearsystemoftheform
                                                                              2   1
                                                ˙                          ′
                                                xˆ(t) = Fxˆ(t)+Q(S,t1,t)H e(t),    xˆ(t0) = 0, e(t) = z(t)−Hxˆ(t),
                             whereQ(S,t1,t)isthesolutionofthematrixRiccatidifferential equation
                                                           ˙            ′                  ′            ′
                                                          Q(t)=Q(t)F +FQ(t)−Q(t)H HQ(t)+GG                                      (14.9)
                             subject to the initial condition
                                                                            Q(t1) =S.
                               Theminimumerrorvarianceisgivenby
                                                                   σ∗(S,t ,t ) = f′Q(S,t ,t )f.                                (14.10)
                                                                          1  2           1  2
                               Equations14.5and14.9arespecialcasesofthematrixRiccatidifferentialEquation14.2inthatA,B,C,
                             andDareconstantrealn×nmatricessuchthat
                                                                  B=B′, C=C′, D=−A′.
                               Therefore, symmetric solutions X(t) are obtained in the optimal control and filtering problems.
                               WeobservethatthecontrolEquation14.5issolvedbackwardintime,whilethefilteringEquation14.9
                             is solved forward in time. We also observe that the two equations are dual to each other in the sense that
                                                                      P(t,t2,T) = Q(S,t1,t)
                             onreplacing F,G,H,T,andt2−t inEquation14.5respectively,byF′,H′,G′,S,andt−t1 or,viceversa,
                             onreplacingF,G,H,S,andt−t1 inEquation14.9respectively,byF′,H′,G′,T,andt2−t.Thismakesit
                             possible to dispense with both cases by considering only one prototype equation.
                             14.3 Riccati Differential Equation
                             This section is concerned with the basic properties of the prototype matrix Riccati differential equation
                                                           ˙                 ′
                                                           X(t)+X(t)A+AX(t)−X(t)BX(t)+C=0,                                     (14.11)
                             where A,B, and C are constant real n×n matrices with B and C being symmetric and nonnegative
                             definite,                              ′                       ′
                                                              B=B, B≥0 and C=C, C≥0.                                           (14.12)
                               By definition, a solution of Equation 14.11 is a real n×n matrix function X(t) that is absolutely
                             continuous and satisfies Equation 14.11 for t on an interval on the real line R.
                               Generally, solutions of Riccati differential equations exist only locally. There is a phenomenon called
                             finite escape time: the equation
                                                                         x˙(t) = x2(t)+1
                                                                          π                                                         π
                             has a solution x(t) = tant in the interval (− ,0) that cannot be extended to include the point t =− .
                                                                          2                                                         2
                             However,Equation14.11withthesign-definite coefficients as shown in Equation14.12 does have global
                             solutions.
      ✐                                             “73648_C014” — 2010/7/15 — 15:57 — page3—#3                                                              ✐
     ✐ ✐                                                                                                                               ✐      ✐
                          14-4                                                       Control System Advanced Methods
                            Let X(t,t2,T) denote the solution of Equation 14.11 that passes through a constant real n×n matrix
                          T at time t . We shall assume that
                                    2
                                                                T =T′ and T≥0.                                     (14.13)
                            ThenthesolutionexistsoneveryfinitesubintervalofR,issymmetric,nonnegativedefiniteandenjoys
                          certain monotone properties.
                          Theorem14.1:
                          Under the assumptions of Equations 14.12 and 14.13 Equation 14.11 has a unique solution X(t, t ,T)
                                                                                                                     2
                          satisfying
                                                       X(t,t2,T) =X′(t,t2,T),  X(t,t2,T) ≥0
                          for every T and every finite t,t2, such that t ≥ t2.
                            ThiscanmosteasilybeseenbyassociatingEquation14.11withtheoptimalcontrolproblemdescribed
                          in Equations 14.3 through 14.6. Indeed, using Equation 14.12, one can write B = GG′ and C = H′H for
                          somereal matrices G and H. The quadratic cost functional η of Equation 14.4 exists and is nonnegative
                          for every T satisfying Equation 14.13 and for every finite t2 −t. Using Equation 14.6, the quadratic form
                          c′X(t,t ,T)c can be interpreted as a particular value of η for every real vector c.
                                2
                            AfurtherconsequenceofEquations14.4and14.6follows.
                          Theorem14.2:
                          For every finite t1,t2 and τ1,τ2 such that t1 ≤ τ1 ≤ τ2 ≤ t2,
                                                              X(t1,τ1,0)≤X(t1,τ2,0)
                                                              X(τ2,t2,0)≤X(τ1,t2,0)
                          andforeveryT ≤T ,
                                        1    2
                                                             X(t ,t ,T ) ≤ X(t ,t ,T ).
                                                                1  2  1       1 2   2
                            Thus, the solution of Equation 14.11 passing through T = 0 does not decrease as the length of the
                          intervalincreases,andthesolutionpassingthroughalargerT dominatesthatpassingthroughasmallerT.
                            TheRiccati Equation 14.11 is related in a very particular manner with linear Hamiltonian systems of
                          differential equations.
                          Theorem14.3:
                          Let                                                     
                                                                          Φ     Φ
                                                               Φ(t,t2) =   11     12
                                                                          Φ     Φ
                                                                           21     22
                          be the fundamental matrix solution of the linear Hamiltonian matrix differential system
                                                           ˙                      
                                                            U(t) =     A    −B     U(t)
                                                             ˙                 ′
                                                            V(t)      −C −A V(t)
     ✐                                         “73648_C014” — 2010/7/15 — 15:57 — page4—#4                                                    ✐
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...Riccati equations and their solution introduction optimalcontrolandfiltering motivation differential equation algebraic general solutions symmetric definite limiting behavior of application numericalsolution invariant subspace method matrixsignfunction vladimir kucera iteration concluding remarks czechtechnical university institute acknowledgments information theory automation references anordinarydifferential the form x t f b c is knownasa deriving its name from jacopo francesco count whostudiedaparticularcaseofthisequationfromto for several reasons a generalizations thereof comprise highly significant class nonlinear ordinary first they are intimately related to linear homogeneous second order possess very particular structure in that fractional functionintheconstantofintegration inapplications riccatidifferentialequationsappearintheclassical problemsofthecalculusofvariationsandintheassociateddisciplines optimal control filtering thematrix refers d defined on vector space real m n ma...

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