On the generalized algebraic Riccati equations

Abstract

Three hundred years have passed since Jacopo Francesco Riccati analyzed a quadratic differential equation that would have been of crucial importance in many fields of engineering and applied mathematics. Indeed, countless variations and generalizations of this equation have been considered as they proved to be the right mathematical tool to address important problems. This paper is focused on a generalized version of the matrix Riccati equation where the matrix that in the classical Riccati equation is inverted can be singular: we analyze the equation obtained by substituting the inverse operator with the Moore-Penrose pseudo-inverse. The equations obtained by this substitution are known as generalized Riccati equations. The relation between these equations — both in continuos-time and in discrete-time — and singular Linear Quadratic (LQ) optimal control problem are examined. A geometric characterization of the set of solutions of the generalized Riccati equation is illustrated. It is shown that in this general setting there are LQ optimal control problems for which the optimal closed-loop system is stable also in cases where the Riccati equation does not possess a stabilizing solution.