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Reduction of discrete algebraic riccati equations: Elimination of generalized eigenvalues on the unit circle

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2018
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Journal Article

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Ferrante, A. and Ntogramatzidis, L. 2018. Reduction of discrete algebraic riccati equations: Elimination of generalized eigenvalues on the unit circle. Operators And Matrices. 12 (1): pp. 169-187.
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Operators And Matrices
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School of Electrical Engineering, Computing and Mathematical Science (EECMS)
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Abstract

The purpose of this paper is to introduce a two-stage procedure that can be used to decompose a discrete-time algebraic Riccati equation into a trivial part, a part that is entirely arbitrary, and a part that can be obtained by computing the set of solutions of a reduced-order Riccati equation whose associated symplectic pencil has no generalized eigenvalues on the unit circle.