The recursive reduced-order numerical solution of the singularlyperturbed matrix differential Riccati equation

Under stability-observability conditions imposed on a singularly perturbed system, an efficient numerical method for solving the corresponding matrix differential Riccati equation is obtained in terms of the reduced-order problems. The order reduction is achieved via the use of the Chang transformation applied to the Hamiltonian matrix of a singularly perturbed linear-quadratic control problem. An efficient numerical recursive algorithm with a quadratic rate of convergence is developed for solving the algebraic equations comprising the Chang transformation     

Optimal discrete systems with prescribed eigenvalues

In this article, the problem of the numerical computation of the stabilising solution of the game theoretic algebraic Riccati equation is investigated. The Riccati equation under consideration occurs in connection with the solution of the H _∞ control problem for a class of stochastic systems affected by state-dependent and control-dependent white noise and subjected to Markovian jumping. The stabilising solution of the considered game theoretic Riccati equation is obtained as a limit of a sequence of approximations constructed based on stabilising solutions of a sequence of algebraic Riccati equations of stochastic control with definite sign of the quadratic part. The proposed algorithm extends to this general framework the method proposed in Lanzon, Feng, Anderson, and Rotkowitz (Lanzon, A., Feng, Y., Anderson, B.D.O., and Rotkowitz, M. (2008), ‘Computing the Positive Stabilizing Solution to Algebraic Riccati Equations with an Indefinite Quadratic Term Viaa Recursive Method,’ IEEE Transactions on Automatic Control, 53, pp. 2280–2291). In the proof of the convergence of the proposed algorithm different concepts associated the generalised Lyapunov operators as stability, stabilisability and detectability are widely involved. The efficiency of the proposed algorithm is demonstrated by several numerical experiments.     

Riccati differential equation in optimal filtering of periodic non-stabilizable systems

This paper discusses the periodic solutions of the matrix Riccati differential equation in the optimal filtering of periodic systems. Special emphasis is given to non-stabilizable systems and the question addressed is the existence and uniqueness of a steady-state periodic non-negative definite solution of the periodic Riccati differential equation which gives rise to an asymptotically stable steady-state filter. The results presented show that the stabilizability is not a necessary condition for the existence of such a periodic solution. The convergence of the general solution of the periodic Riccati differential equation to a periodic equilibrium solution is also investigated. The results are extensions of existing time-invariant systems results to the case of periodic systems     

The Riccati equation with variable coefficients expansion algorithm to find more exact solutions of nonlinear differential equations

In this paper based on a system of Riccati equations with variable coefficients, we present a new Riccati equation with variable coefficients expansion method and its algorithm, which are direct and more powerful than the tanh-function method, sine-cosine method, the generalized hyperbolic-function method and the generalized Riccati equation with constant coefficient expansion method to construct more new exact solutions of nonlinear differential equations in mathematical physics. A pair of generalized Hamiltonian equations is chosen to illustrate our algorithm such that more families of new exact solutions are obtained which contain soliton-like solution and periodic solutions. This algorithm can also be applied to other nonlinear differential equations.     

Criterion for the convergence of the solution of the Riccati differential equation

The optimal control problem for a linear system with a quadratic cost function leads to the matrix Riccati differential equation. The convergence of the solution of this equation for increasing time interval is investigated as a function of the final state penalty matrix. A necessary and sufficient condition for convergence is derived for stabilizable systems, even if the output in the cost function is not detectable. An algorithm is developed to determine the limiting value of the solution, which is one of the symmetric positive semidefinite solutions of the algebraic Riccati equation. Examples for convergence and nonconvergence are given. A discussion is also included of the convergence properties of the solution of the Riccati differential equation to any real symmetric (not necessarily positive semidefinite) solution of the algebraic Riccati equation.     

Dampening controllers via a Riccati equation approach

An algorithm is presented which computes a state feedback for a standard linear system which not only stabilizes, but also dampens the closed-loop system dynamics. In other words, a feedback gain matrix is computed such that the eigenvalues of the closed-loop state matrix are within the region of the left half-plane where the magnitude of the real part of each eigenvalue is greater than that of the imaginary part, This may be accomplished by solving a damped algebraic Riccati equation and a degenerate Riccati equation. The solution to these equations are computed using numerically robust algorithms, Damped Riccati equations are unusual in that they may be formulated as an invariant subspace problem of a related periodic Hamiltonian system. This periodic Hamiltonian system induces two damped Riccati equations: one with a symmetric solution and another with a skew symmetric solution. These two solutions result in two different state feedbacks, both of which dampen the system dynamics, but produce different closed-loop eigenvalues, thus giving the controller designer greater freedom in choosing a desired feedback     

Nonsymmetric Riccati equations: Partitioned algorithms

Generalized partitioned solutions (GPS) of nonsymmetric matric Riccati equations are presented in terms of forward and backward time differential equations that are of theoretical interest and also are computationally powerful. The GPS are the natural framework for the effective change of initial conditions, and the transformation of backward Riccati equation to forward Riccati equation and vice versa.Based on the GPS, computationally effective algorithms are obtained for the numerical solution of Riccati equations. These partitioned numerical algorithms have a decomposed or “partitioned” structure. They are given exactly in terms of a set of elemental solutions which are completely decoupled, and as such computable in either a parallel or serial processing mode. The overall solution is given exactly in terms of a simple recursive operation on the elemental solutions. Except for a subinterval of the total computation interval, the partitioned numerical algorithms are integration-free for the Riccati equation with constant or periodic matrices.Most importantly based on the GPS, a computationally attractive numerical algorithm is obtained for the computation of the steady-state solution of time-invariant Riccati equations. By making use of the GPS and some simple iterative operations, the Riccati solution is obtained in an interval which is twice as long as the previous interval requiring integration only in the initial subinterval.     

Numerical Method to Solve the Cauchy Problem with Previous History

The paper analyzes the theoretical aspects of constructing a family of single-stage multi-step methods for solving the Cauchy problem with prehistory for ordinary differential equations. The authors consider general issues related to discretization, approximation, convergence, and stability. The problem of improving the accuracy of numerical solutions is analyzed in detail. The results presented in the paper are also applicable for the numerical solution of partial differential equations.     

A new stochastic approach for solution of Riccati differential equation of fractional order

In this article, a stochastic technique has been developed for the solution of nonlinear Riccati differential equation of fractional order. Feed-forward artificial neural network is employed for accurate mathematical modeling and learning of its weights is made with heuristic computational algorithm based on swarm intelligence. In this scheme, particle swarm optimization is used as a tool for the rapid global search method, and simulating annealing for efficient local search. The scheme is equally capable of solving the integer order or fractional order Riccati differential equations. Comparison of results was made with standard approximate analytic, as well as, stochastic numerical solvers and exact solutions.     

A numerical solution of the stochastic discrete algebraic Riccati equation

This article proposes two algorithms for solving a stochastic discrete algebraic Riccati equation which arises in a stochastic optimal control problem for a discrete-time system. Our algorithms are generalized versions of Hewer’s algorithm. Algorithm I has quadratic convergence, but needs to solve a sequence of extended Lyapunov equations. On the other hand, Algorithm II only needs solutions of standard Lyapunov equations which can be solved easily, but it has a linear convergence. By a numerical example, we shall show that Algorithm I is superior to Algorithm II in cases of large dimensions. This work was presented in part at the 13th International Symposium on Artificial Life and Robotics, Oita, Japan, January 31–February 2, 2008     

A new operational matrix for solving fractional-order differential equations

Fractional calculus has been used to model physical and engineering processes that are found to be best described by fractional differential equations. For that reason we need a reliable and efficient technique for the solution of fractional differential equations. This paper deals with the numerical solution of a class of fractional differential equations. The fractional derivatives are described in the Caputo sense. Our main aim is to generalize the Legendre operational matrix to the fractional calculus. In this approach, a truncated Legendre series together with the Legendre operational matrix of fractional derivatives are used for numerical integration of fractional differential equations. The main characteristic behind the approach using this technique is that it reduces such problems to those of solving a system of algebraic equations thus greatly simplifying the problem. The method is applied to solve two types of fractional differential equations, linear and nonlinear. Illustrative examples are included to demonstrate the validity and applicability of the presented technique.     

An exact line search method for solving generalized continuous-timealgebraic Riccati equations

We present a Newton-like method for solving algebraic Riccati equations that uses an exact line search to improve the sometimes erratic convergence behavior of Newton's method. It avoids the problem of a disastrously large first step and accelerates convergence when Newton steps are too small or too long. The additional work to perform the line search is small relative to the work needed to calculate the Newton step     

Lyapunov and Riccati equations: Periodic inertia theorems

The Lyapunov and Riccati differential equations with periodically time-varying coefficients are considered. Under the assumption of detectability of the underlying periodic system, two inertia theorems are provided linking the inertia of the solution to the one of the so-called monodromy matrix.     

Iterative algorithms for computing the feedback Nash equilibrium point for positive systems

The paper studies N-player linear quadratic differential games on an infinite time horizon with deterministic feedback information structure. It introduces two iterative methods (the Newton method as well as its accelerated modification) in order to compute the stabilising solution of a set of generalised algebraic Riccati equations. The latter is related to the Nash equilibrium point of the considered game model. Moreover, we derive the sufficient conditions for convergence of the proposed methods. Finally, we discuss two numerical examples so as to illustrate the performance of both of the algorithms.     

An improved method for determining the solution of Riccati equations

In this paper, we present an improved method for solving Riccati equations, which possesses a fast convergence rate and high accuracy. This modification is based on a previous approach used for solving Riccati equations (Tang and Li in Appl Math Comput 194:431–440, 2007). The Riccati equation is first transformed to a second-order linear ordinary differential equation, and then to a Volterra integro-differential equation. The Taylor expansion for the unknown function and integration method are employed to reduce the resulting integral equations to a system of linear equations for the unknown and its derivatives. Also, we improve the accuracy of the obtained approximate solutions through the application of the Padé approximant. Some numerical illustrations are given to show the effectiveness of the proposed modification.     

Solving stiff differential equations for simulation

Computer simulation of dynamic systems very often leads to the solution of a set of stiff ordinary differential equations. The solution of this set of equations involves the eigenvalues of its Jacobian matrix. The greater the spread in eigenvalues, the more time consuming the solutions become when existing numerical methods are employed. Extremely stiff differential equations can become a very serious problem for some systems, rendering accurate numerical solutions completely uneconomic. In this paper, we propose new techniques for solving extremely stiff systems of differential equations. These algorithms are based on a class of implicit Runge-Kutta procedure with complete error estimate. The new techniques are applied to solving mathematical models of the relaxation problem behind blast waves.     

Constructing Riccati differential equations with known analyticsolutions for numerical experiments

Three examples of symmetric and nonsymmetric Riccati differential equations (RDEs) whose analytic solutions are known and whose sizes are variable and can be large are presented. The eigenvalues and eigenvectors of the Riccati solutions in some of the examples are also given. The numerical examples have proved to be useful for testing the accuracy and efficiency of algorithms for solving large-scale RDEs     

On the periodic solutions of the Matrix Riccati equation

We investigate the structure of the periodic orbits of timeinvariant matrix Riccati equations. Matrix Riccati equations are of critical importance in control, estimation, differential games, scattering theory, and in several other applications. It is therefore important to understand the principal features of the phase portraits of Riccati equations, such as the existence and structure of periodic solutions.     

Numerical solution of Riccati equation using the cubic B-spline scaling functions and Chebyshev cardinal functions

Two numerical techniques are presented for solving the solution of Riccati differential equation. These methods use the cubic B-spline scaling functions and Chebyshev cardinal functions. The methods consist of expanding the required approximate solution as the elements of cubic B-spline scaling function or Chebyshev cardinal functions. Using the operational matrix of derivative, we reduce the problem to a set of algebraic equations. Some numerical examples are included to demonstrate the validity and applicability of the new techniques. The methods are easy to implement and produce very accurate results.     

Existence conditions and properties for the maximal periodic solution of periodic Riccati difference equations

The existence and properties of the maximal symmetric periodic solution of the periodic Riccati difference equation, is analysed for the optimal filtering problem of linear periodic discrete-time systems. Special emphasis is given to systems not necessarily reversible and subject only to a detectability assumption. Necessary and sufficient conditions for the existence and uniqueness of periodic non-negative definite solutions of the periodic Riccati difference equation which gives rise to a stable filter are also established. Furthermore, the convergence of non-negative definite solutions of the Riccati equation is investigated.