Convergence analysis of Newton method without inversion for solving discrete algebraic Riccati equations

In this paper, we first introduce the necessary and sufficient conditions for the existence of the solution of discrete algebraic Riccati equation. Then we propose the Newton method without inversion to find the solution of the discrete algebraic Riccati equation. We show that the proposed method converges to a positive definite solution of the discrete algebraic Riccati equation. Finally, the accuracy and effectiveness of the proposed method in compare to some existing algorithms are demonstrated by various numerical examples.     

New upper bounds on the solution matrix to the continuous algebraic Riccati matrix equation

In this paper, new upper bounds for the solution matrix of the continuous algebraic Riccati matrix equation (CARE) are derived by means of some matrix inequalities and linear algebraic techniques. Furthermore, for the derived each bound, iterative algorithms are developed to obtain sharper solution estimates. Comparing with some appearing results in the literature, the presented bounds are less restrictive and more efficient. Finally, numerical examples are given to illustrate the effectiveness of the proposed results.     

Infinite horizon multiobjective optimal control of stochastic cooperative linear-quadratic dynamic difference games

This article is concerned with the infinite horizon stochastic cooperative linear-quadratic (LQ) dynamic difference game in both the regular and the indefinite cases. Firstly, due to the constraints imposed on the weighting matrices and the linearity of the dynamic system, the costs are shown to be convex spontaneously for the regular stochastic cooperative LQ difference game, which yields the equivalence between the minimization of the weighted sum of costs and the Pareto optimal control. Secondly, the Pareto optimal control is derived for the regular game on the ground of the solution to the weighted algebraic Riccati equation (WARE) under exact observability, and then Pareto solutions are identified via the optimal feedback gain matrices and the solution to the weighted algebraic Lyapunov equation (WALE). Moreover, a new criterion which is also necessary and sufficient is developed to guarantee the costs to be convex for the indefinite case, and the Pareto optimality is investigated based on the solutions to the weighted generalized algebraic Riccati equation (WGARE) and the weighted generalized algebraic Lyapunov equation (WGALE) combining with the semidefinite programming (SDP). Finally, the fishery management game in the economy is presented to illustrate the obtained results.     

The convergence analysis of an accelerated iteration for solving algebraic Riccati equations

The discrete-time algebraic Riccati equation (DARE) have extensive applications in optimal control problems. We provide new theoretical supports to the stability properties of solutions to the DARE and reduce the convergence conditions under which the accelerated fixed-point iteration (AFPI) can be applied to compute the numerical solutions of DARE. In particular, we verify that the convergence of AFPI is R-superlinear when the spectral radius of the closed-loop matrix is greater than 1, which is shown by mild assumption and only using primary matrix theories. Numerical examples are shown to illustrate the consistency and effectiveness of our theoretical results.     

Distributed optimal consensus protocol for high-order integrator-type multi-agent systems

Optimal consensus control of high-order multi-agent systems (MASs) modeled by multiple integrator-type dynamics is studied. A fully distributed optimal control protocol that achieves the specific consensus behavior is designed for MASs with linear dynamics, where topology-dependent conditions are removed. Further, a distributed consensus protocol for high-order nonlinear MASs with one-sided Lipschitz continuity is presented using the optimization approach, and the optimal solution can be obtained by solving a standard algebraic Riccati equation. Some numerical examples are finally provided to illustrate the effectiveness of the presented approaches.     

非线性不确定系统的模糊自适应 输出反馈跟踪

本文研究了非仿射非线性系统的模糊自适应 输出反馈跟踪。在非仿射非线性模型存在不确定的情况下，使用模糊自适应控制器对系统进行控制，并基于Lyapunov稳定性定理得出自适应律。通过解一个代数Riccati方程实现了 跟踪性能。估计状态通过引入高增益观测器得到，实现了系统的输出反馈控制。最后，通过对一个数值例子的仿真验证了算法的有效性。     

Infinite horizon linear quadratic Pareto game of the stochastic singular systems

This paper is concerned with the linear quadratic (LQ) Pareto game of the stochastic singular systems in infinite horizon. Firstly, the optimal control problem of the weighted sum cost functional is discussed. Utilizing the equivalent transformation method, the weighted sum LQ optimal control problem is transformed into a stochastic LQ optimization problem. Based on the classical stochastic LQ optimal control theory, the necessary and sufficient condition for the solvability of the indefinite weighted sum LQ optimal control is put forward. Then, the LQ Pareto game of the stochastic singular systems is studied. By the discussion of the convexity of the cost functionals, a sufficient condition for the existence of the Pareto solutions is obtained via the solvability of the corresponding generalized algebraic Riccati equation (GARE). Moreover, we derive all Pareto solutions based on the solution of a Lyapunov equation. Finally, an example is given to show the effectiveness of the proposed results.     

Mean escape time of switched Riccati differential equations

Riccati differential equations are a class of first-order quadratic ordinary differential equations and have various applications in systems and control theory. In this study, we analyzed a switched Riccati differential equation driven by a Poisson-like stochastic signal. We specifically focused on computing the mean escape time of the switched Riccati differential equation. The contribution of this study is twofold. We first show that, under the assumption that the subsystems described as deterministic Riccati differential equations escape in finite time regardless of their initial state, the mean escape time of the switched Riccati differential equation admits a power series expression. To further expand the applicability of this result, we then present an approximate formula to compute the escape time of deterministic Riccati differential equations. Numerical simulations were performed to illustrate the obtained results.     

Parametric delta operator Riccati equation and applications to semi-global stabilization in the presence of actuator saturation

In this paper, a parametric delta operator Riccati equation is established for low gain feedbacks of linear delta operator systems. Some properties for the parametric delta operator Riccati equation are given based on a parameter-dependent cost function. An explicit solution is also given for the delta operator parametric Riccati equation. Semi-global stabilization is described for a linear delta operator system with actuator saturation via low gain state and output feedback control laws. A numerical example is given to illustrate the effectiveness and potential for the developed techniques.     

Matrix solution bounds of the continuous Lyapunov equation by using a bilinear transformation

By using a bilinear transformation and some linear algebraic techniques, new matrix bounds of the solution of the continuous algebraic Lyapunov equation (CALE) are derived in this paper. Comparing to existing works, these obtained matrix bounds are less restrictive and are easy to be calculated. A numerical example is also given to demonstrate the merits of the present results.     

Optimal control in unobservable integral Volterra systems

This paper presents solution of the optimal linear-quadratic controller problem for unobservable integral Volterra systems with continuous/discontinuous states under deterministic uncertainties, over continuous/discontinuous observations. Due to the separation principle for integral systems, the initial continuous problem is split into the optimal minmax filtering problem for integral Volterra systems with deterministic uncertainties over continuous/discontinuous observations and the optimal linear-quadratic control (regulator) problem for observable deterministic integral Volterra systems with continuous/discontinuous states. As a result, the system of the optimal controller equations are obtained, including the linear equation for the optimally controlled minmax estimate and two Riccati equations for its ellipsoid matrix (optimal gain matrix of the filter) and the optimal regulator gain matrix. Then, in the discontinuous problems, the equation for the optimal controller and the equations for the optimal filter and regulator gain matrices are obtained using the filtering procedure for deriving the filtering equations over discontinuous observations proceeding from the known filtering equations over continuous ones and the dual results in the optimal control problem for integral systems. The technical example illustrating application of the obtained results is finally given.     

Linear quadratic open-loop Stackelberg game for stochastic systems with Poisson jumps

This paper is concerned with the finite horizon linear quadratic (LQ) Stackelberg game for stochastic systems with Poisson jumps under the open-loop information structure. First, the follower solves a LQ stochastic optimal control problem with Poisson jumps. With the aid of an introduced generalized differential Riccati equation with Poisson jumps (GDREP), the sufficient conditions for the optimization of the follower are put forward. Then, the leader faces an optimal control problem for a forward-backward stochastic differential equation with Poisson jumps (FBSDEP). By introducing new state and costate variables, a sufficient condition for the existence and uniqueness of the open-loop Stackelberg strategies is presented in terms of the solvability of two differential Riccati equations and a convexity condition. In addition, the state feedback representation of the open-loop Stackelberg strategies is obtained via the related differential Riccati equation. Finally, two examples shed light on the effectiveness of the obtained results.     

Finite and infinite horizon indefinite linear quadratic optimal control for discrete-time singular Markov jump systems

This paper concerns the indefinite linear quadratic (LQ) optimal control problem for discrete-time singular Markov jump systems (MJSs) with finite and infinite horizon, where the weight matrices for state and control of cost function are all indefinite. Firstly, the indefinite LQ problem for singular MJSs is equivalently transformed into indefinite LQ problem for MJSs under a series of equivalent transformations. Then, the sufficient and necessary condition is proposed for the solvability of finite horizon case, the optimal control and optimal cost value are given, and the resulting optimal closed-loop system is regular, casual. Next, some sufficient and necessary conditions are obtained to ensure the transformed equivalent LQ problem for MJSs to be definite one, which can guarantee the generalized algebraic Riccati equation with Markov jump has a unique semi-positive definite solution. Meanwhile, the optimal control and nonnegative optimal cost value in infinite horizon are acquired, and the resulting optimal closed-loop system is stochastically admissible. Finally, three examples are presented to illustrate the theoretical results.     

Stability analysis and control synthesis for linear systems with non-symmetrical input saturation

This paper studies the stability and control problem of linear systems with non-symmetrical input saturation. A system with non-symmetrical input saturation is transformed into a system with switching symmetrical input saturation. A switching controller is designed based on a parametric algebra Riccati equation, dwell time and the equivalent switched system. Exponential stability is guaranteed with the proposed switching controller. The main advantages of the proposed method lie in reducing the conservatism caused by directly using symmetrical input saturation control and increasing the state convergent speed. The designed controller can be computed easily by solving the Riccati equation. Numerical examples are provided to demonstrate the effectiveness of the proposed method.     

Semi-global leader-following coordination of multi-agent systems with input saturation and aperiodic intermittent communications

This paper addresses the semi-global leader-following coordination problem of general linear multi-agent systems, in which the control input of each agent is steered by aperiodically intermittent saturated actuator. Both the case with only one virtual leader and the case with multiple virtual leaders are discussed. By using multiple Lyapunov stability theory and applying algebraic Riccati equation-based low-gain feedback technique, sufficient conditions guaranteeing semi-global consensus tracking and semi-global containment tracking are provided. Numerical simulations finally verify the theoretical analysis.     

On the robustness of Riccati flows to complete model misspecification

Consider the continuous-time matrix Riccati operator Ricc$\left(Q\right)=AQ+Q{A}^{\prime }?QSQ+R$. In this work, we consider the robustness of this operator to direct perturbations of the matrices (A, R, S) and, in particular, the flow robustness of the corresponding Riccati differential equation. For a given class of perturbation, we show that the corresponding differential equation is well defined in the sense it is bounded above and below, it has a well-defined fixed point, and it converges to this fixed point exponentially fast. Moreover, the flow of the perturbed Riccati flow is close to the nominal Riccati flow when the perturbation is small; i.e. we prove a continuity-type condition in the size of the perturbation.     

Application of a parametrization method to problem of optimal control

A new approach to the problem of optimal control of linear dynamic systems is proposed that makes use of a method of input and state parametrization to transform the original problem into a problem of the Calculus of Variations. In contrast to the standard approaches for this class of problems, two salient features of the new approach are that no Lagrange multiplier functions need to be invoked and that the class of inputs can be restricted to the - relatively small - class of continuous functions, even for problems with fixed end-states. The resulting necessary conditions of optimality, i.e., the Euler-Lagrange equation and the boundary conditions for the transformed problem, are proved to be equivalent to those resulting from the standard method of First Variations. In case of quadratic cost functionals, the new approach provides a simpler alternative to the well known, but equally difficult, Riccati differential equation approach and results in a simple dynamic state-feedback implementation of the optimal control.     

On the continuous time-varying JLQG

In this paper, the optimal control law for the continuous infinite time-varying stochastic control system with jumps and quadratic cost is found under the assumption that the coefficient have limits as time tends to infinity and the boundary system is absolutely observable and stabilizable. In addition, the asymptotic properties of the solution of the differential Riccati equations for continuous time Markovian jump linear quadratic control problem with time-varying coefficient are established.