The inheritance properties of conjugate Riccati matrix equations
Time: Sept. 4 (Thu.) 14:00-15:00
Place: M212, Gongguan Campus, NTNU

Hung-Yuan Fan
范洪源 副教授
國立臺灣師範大學 數學系
In this talk we consider a class of conjugate discrete-time Riccati equations,
arising originally from the linear quadratic regulator problem for discrete-time antilinear systems.
Under mild and reasonable assumptions, the existence of the maximal solution to the conjugate discrete-time Riccati equation, in which the control
weighting matrix is nonsingular and its constant term is Hermitian, will be inherited to a transformed discrete-time algebraic Riccati equation.
Based on this inheritance property, an accelerated fixed-point iteration is proposed for finding the maximal solution via the transformed Riccati equation.
Numerical examples are shown to illustrate the correctness of our theoretical results and the feasibility of the proposed algorithm.
