Algebraic Properties of Riccati equations

Algebraic Properties ofRiccati equations

Ruth Curtain

University of Groningen, The Netherlands

(collaboration with Amol Sasane,Royal Institute of Technology, Stockholm,

Sweden)

Summary

Algebraic properties of Riccati equations?Motivation: Platoon-type spatially invariantsystems.False claim by Chris Byrnes , CDC 1980.New LQR result for commutative algebras.A class of symmetric algebras: Wieneralgebras satisfying the G-R-S condition.Applications to spatially invariant systems.False claim by Motee, Jadbabaie, IEEE 2008.The noncommutative case.Conclusions.

Summary

Algebraic properties of Riccati equations?

Motivation: Platoon-type spatially invariantsystems.False claim by Chris Byrnes , CDC 1980.New LQR result for commutative algebras.A class of symmetric algebras: Wieneralgebras satisfying the G-R-S condition.Applications to spatially invariant systems.False claim by Motee, Jadbabaie, IEEE 2008.The noncommutative case.Conclusions.

Summary

Algebraic properties of Riccati equations?Motivation: Platoon-type spatially invariantsystems.

False claim by Chris Byrnes , CDC 1980.New LQR result for commutative algebras.A class of symmetric algebras: Wieneralgebras satisfying the G-R-S condition.Applications to spatially invariant systems.False claim by Motee, Jadbabaie, IEEE 2008.The noncommutative case.Conclusions.

Summary

Algebraic properties of Riccati equations?Motivation: Platoon-type spatially invariantsystems.False claim by Chris Byrnes , CDC 1980.

New LQR result for commutative algebras.A class of symmetric algebras: Wieneralgebras satisfying the G-R-S condition.Applications to spatially invariant systems.False claim by Motee, Jadbabaie, IEEE 2008.The noncommutative case.Conclusions.

Summary

Algebraic properties of Riccati equations?Motivation: Platoon-type spatially invariantsystems.False claim by Chris Byrnes , CDC 1980.New LQR result for commutative algebras.

A class of symmetric algebras: Wieneralgebras satisfying the G-R-S condition.Applications to spatially invariant systems.False claim by Motee, Jadbabaie, IEEE 2008.The noncommutative case.Conclusions.

Summary

Algebraic properties of Riccati equations?Motivation: Platoon-type spatially invariantsystems.False claim by Chris Byrnes , CDC 1980.New LQR result for commutative algebras.A class of symmetric algebras: Wieneralgebras satisfying the G-R-S condition.

Applications to spatially invariant systems.False claim by Motee, Jadbabaie, IEEE 2008.The noncommutative case.Conclusions.

Summary

Algebraic properties of Riccati equations?Motivation: Platoon-type spatially invariantsystems.False claim by Chris Byrnes , CDC 1980.New LQR result for commutative algebras.A class of symmetric algebras: Wieneralgebras satisfying the G-R-S condition.Applications to spatially invariant systems.

False claim by Motee, Jadbabaie, IEEE 2008.The noncommutative case.Conclusions.

Summary

Algebraic properties of Riccati equations?Motivation: Platoon-type spatially invariantsystems.False claim by Chris Byrnes , CDC 1980.New LQR result for commutative algebras.A class of symmetric algebras: Wieneralgebras satisfying the G-R-S condition.Applications to spatially invariant systems.False claim by Motee, Jadbabaie, IEEE 2008.

The noncommutative case.Conclusions.

Summary

Algebraic properties of Riccati equations?Motivation: Platoon-type spatially invariantsystems.False claim by Chris Byrnes , CDC 1980.New LQR result for commutative algebras.A class of symmetric algebras: Wieneralgebras satisfying the G-R-S condition.Applications to spatially invariant systems.False claim by Motee, Jadbabaie, IEEE 2008.The noncommutative case.Conclusions.

LQR Riccati equation

Matrix Riccati equation result

Let A ∈ Cn×n, B ∈ Cm×n, C ∈ Cn×p. If (A,B) is stabilizable and(A,C) is detectable, then ∃ a unique stabilizing solution P ∈ Cn×n of

A∗P + PA− PBB∗P + C∗C = 0.

Stabilizing solution: P = P∗ ≥ 0 and A− BB∗P is stable.

Fundamental question

Let A be a complex Banach algebra, with an involution ·†. When willthe following LQR Riccati equation have a unique exponentiallystabilizing solution P ∈ An×n?

A†P + PA− PBB†P + C†C = 0.

Stabilizing solution: P = P† and A− BB†P is exponentially stable,i.e., the semigroup eAt on An×n is exponentially stable⇐⇒

sup{Re λ : λ ∈ σ(A)} < 0.

A∗P + PA− PBB∗P + C∗C = 0.

A†P + PA− PBB†P + C†C = 0.

sup{Re λ : λ ∈ σ(A)} < 0.

A∗P + PA− PBB∗P + C∗C = 0.

A†P + PA− PBB†P + C†C = 0.

sup{Re λ : λ ∈ σ(A)} < 0.

A positive result

An example of a Banach algebra with an involution is L(Z), where Zis a Hilbert space and the involution is the adjoint operation. It is notcommutative in general, but it does have nice algebraic properties.

Suppose that Z is a Hilbert space and A, B, C ∈ L(Z). If (A,B) isexponentially stabilizable and (A,C) is exponentially detectable, thenthere exists a unique nonnegative solution P ∈ L(Z), P = P∗ ≥ 0 ofthe LQR control Riccati equation

A∗P + PA− PBB∗P + C∗C = 0.

There also exists a unique nonnegative solution Q ∈ L(Z),Q = Q∗ ≥ 0 of the LQR filter Riccati equation

AQ + QA∗ − QC∗CQ + BB∗ = 0.

Moreover, A− BB∗P and A− QCC∗ generate exponentially stablesemigroups.

A positive resultAn example of a Banach algebra with an involution is L(Z), where Zis a Hilbert space and the involution is the adjoint operation. It is notcommutative in general, but it does have nice algebraic properties.

A∗P + PA− PBB∗P + C∗C = 0.

AQ + QA∗ − QC∗CQ + BB∗ = 0.

A positive resultAn example of a Banach algebra with an involution is L(Z), where Zis a Hilbert space and the involution is the adjoint operation. It is notcommutative in general, but it does have nice algebraic properties.

A∗P + PA− PBB∗P + C∗C = 0.

AQ + QA∗ − QC∗CQ + BB∗ = 0.

Complex Banach algebra A with an involution

A complex Banach space with a multiplication operation:

a, b ∈ A =⇒ ab ∈ A

a(bc) = (ab)c,

‖ab‖ ≤ ‖a‖‖b‖.

Involution is a map from A to itself: a→ a† with the properties:

(a + b)† = a† + b†,

(αb)† = αb†,

(ab)† = a†b†,

(a†)† = a.

Commutative complex Banach algebra:

ab = ba for all a, b ∈ A.

a, b ∈ A =⇒ ab ∈ A

a(bc) = (ab)c,

‖ab‖ ≤ ‖a‖‖b‖.

(a + b)† = a† + b†,

(αb)† = αb†,

(ab)† = a†b†,

(a†)† = a.

a, b ∈ A =⇒ ab ∈ A

a(bc) = (ab)c,

‖ab‖ ≤ ‖a‖‖b‖.

(a + b)† = a† + b†,

(αb)† = αb†,

(ab)† = a†b†,

(a†)† = a.

Example (Even-Weighted Wiener algebra Wα(T))

Let α = (αn)n∈Z be any sequence of positive real numbers satisfying

αn+m ≤ αnαm, α−n = αn (even).

Wα(T) :={

f : f (z) =∑n∈Z

fnzn , z ∈ T = unit circle

and ‖f‖Wα(T) :=∑n∈Z

αn|fn| <∞},

with pointwise operations.

Wα(T) is a unital commutative Banachalgebra contained in the commutative Banach algebra L∞(T) withpossible involutions:

f †(z) := f (z) =∑n∈Z

and f∼(z) := f (1/z)∗ =∑n∈Z

fnz−n.

Wα(T) :={

f : f (z) =∑n∈Z

αn|fn| <∞},

with pointwise operations. Wα(T) is a unital commutative Banachalgebra contained in the commutative Banach algebra L∞(T) withpossible involutions:

f †(z) := f (z) =∑n∈Z

and f∼(z) := f (1/z)∗ =∑n∈Z

fnz−n.

Wα(T) :={

f : f (z) =∑n∈Z

αn|fn| <∞},

with pointwise operations. Wα(T) is a unital commutative Banachalgebra contained in the commutative Banach algebra L∞(T) withpossible involutions:

f †(z) := f (z) =∑n∈Z

and f∼(z) := f (1/z)∗ =∑n∈Z

fnz−n.

Motivation: Spatially Invariant Systems

Consider the subalgebra of bounded convolution operatorsT : `2 → `2 given by

(Tx)l =∑r∈Z

Tr−lxr.

Spatially invariant systems : Σ(A,B,C) with state space `2(Z;Cn).A,B,C are matrices whose entries are convolution operators andA,B,C ∈ L(`2(Z;Cn)), a Banach algebra with the involution theadjoint operation ·∗.

Under the Fourier transform F : `2(Z;Cn)→ L2(T;Cn). So the studyof spatially invariant systems Σ(A,B,C) is transformed to the studyof the isometrically isomorphic systemsΣ(FAF−1,FBF−1,FCF−1):=Σ(A, B, C) on L2(T;Cn). Since A, B, Care multiplication operators on L∞(T;Cn) they are much easier tohandle mathematically.

(Tx)l =∑r∈Z

Tr−lxr.

(Tx)l =∑r∈Z

Tr−lxr.

Example

Take A = 0, B(z) = 10− z− 1/z, C = 1. The LQR Riccati equationon L2(T) is

A(z)∗P(z) + P(z)A(z)− P(z)B(z)B(z)∗P(z) + C(z)∗C(z) = 0.

This can be solved algebraically for each z ∈ T to obtain the uniquepositive solution

P(z) =1

10− z− 1/z

∑k∈Z

δ−|k|zk,

where δ = 5 +√

Control of Platoon-type spatially invariant systems

Discrete spatially invariant operators are inL(`2(Z;Cn)) ' L(L2(T;Cn)) = L∞(T;Cn×n).

Existence of Riccati solutions

If (A(z), B(z), C(z)) is stabilizable and detectable for all z ∈ T theRiccati equation has a unique s.a stabilizing solution.

Even for simple examples P(z) =∑

r∈Z przr ∈ L∞(T).But for an implementable control law you need to truncate and thetruncation should be a good approximation of P, i.e.,∑

r∈T αrpr <∞ for some (αr) or P must be in a Wiener algebraWα(T) ⊂ L∞(T).

Moreover, the larger the weights αr, the better the approximation willbe; for example, an exponential weight αr = e|r| would be perfect.

r∈Z przr ∈ L∞(T).

But for an implementable control law you need to truncate and thetruncation should be a good approximation of P, i.e.,∑

r∈Z przr ∈ L∞(T).But for an implementable control law you need to truncate and thetruncation should be a good approximation of P, i.e.,

∑r∈T αrpr <∞ for some (αr) or P must be in a Wiener algebra

Wα(T) ⊂ L∞(T).

Gelfand Representation Theorem for commutativeBanach algebras

Every commutative Banach algebra is isomorphic to an algebra ofcontinuous functions on its maximal ideal space M(A) (a compactHausdorff space, equipped with the weak * topology). The Gelfandtransform is a map · : A→ C given by

a(ϕ) = ϕ(a), ∀ϕ ∈ M(A), ∀a ∈ A.

Example (The commutative Banach algebra Wα(T))

This has the maximal ideal space which is isomorphic to the annulusaround T:

A(ρ) = {z ∈ C : 1/ρ ≤ |z| ≤ ρ}, ρ = infn>0

n√αn = lim

n→∞n√αn.

For f (z) =∑

k∈Z fkzk for z ∈ T the Gelfand transform is

f (z) =∑k∈Z

fkzk for z ∈ A(ρ), the whole annulus .

a(ϕ) = ϕ(a), ∀ϕ ∈ M(A), ∀a ∈ A.

A(ρ) = {z ∈ C : 1/ρ ≤ |z| ≤ ρ}, ρ = infn>0

n√αn = lim

n→∞n√αn.

For f (z) =∑

f (z) =∑k∈Z

a(ϕ) = ϕ(a), ∀ϕ ∈ M(A), ∀a ∈ A.

A(ρ) = {z ∈ C : 1/ρ ≤ |z| ≤ ρ}, ρ = infn>0

n√αn = lim

n→∞n√αn.

For f (z) =∑

f (z) =∑k∈Z

Claim by Chris Byrnes, CDC 1980

The idea was to note that the Gelfand transforms (A(ϕ), B(ϕ)), C(ϕ))are just complex matrices and so consider the isomorphicfinite-dimensional Riccati equation for each ϕ

A(ϕ)∗P(ϕ)+P(ϕ)A(ϕ)−P(ϕ))B(ϕ)B(ϕ)∗P(ϕ))+C(ϕ))∗C(ϕ)) = 0.

TheoremSuppose that A be a commutative, unital, complex Banach algebra,with an involution ·†. Denote by A the Gelfand transform.Let A ∈ An×n, B ∈ An×m, C ∈ Ap×n be such that for all ϕ ∈ M(A),(A(ϕ), B(ϕ)) is controllable and (A(ϕ), C(ϕ)) is observable. Thenthere exists a solution P ∈ An×n such that

A†P + PA− PBB†P + C†C = 0, (1)

and A− BB†P is asymptotically stable.

FALSE: The involution ·† needs to match the complex conjugate.

A†P + PA− PBB†P + C†C = 0, (1)

New result by Amol Sasane (special case of SIAM 2011 paper)Let A be a commutative, unital, complex, semisimple Banach algebra.Suppose that A ∈ An×n, B ∈ An×m, C ∈ Ap×n satisfy the followingfor all ϕ ∈ M(A),

(A1) ˇ(A†)(ϕ) = (A(ϕ))∗, ˇ(B†)(ϕ) = (B(ϕ))∗, ˇ(C†)(ϕ) = (C(ϕ))∗.

(A2) (A(ϕ), B(ϕ)) is stabilizable,

(A3) (A(ϕ), C(ϕ)) is detectable.

Then there exists a P ∈ An×n such that

A†P + PA− PBB†P + C†C = 0,

A− BB†P is exponentially stable, and P† = P.

Note: condition (A1) on the involution: it needs to match complexconjugation: In generalf †(z) := f (z)h 6= f (z)∗, f∼(z) := f (1/z)∗ 6= f (z)∗.

Banach algebras satisfying (A1) = symmetric Banach algebras.

New result by Amol Sasane (special case of SIAM 2011 paper)Let A be a commutative, unital, complex, semisimple Banach algebra.Suppose that A ∈ An×n, B ∈ An×m, C ∈ Ap×n satisfy the followingfor all ϕ ∈ M(A),

(A1) ˇ(A†)(ϕ) = (A(ϕ))∗, ˇ(B†)(ϕ) = (B(ϕ))∗, ˇ(C†)(ϕ) = (C(ϕ))∗.

(A2) (A(ϕ), B(ϕ)) is stabilizable,

(A3) (A(ϕ), C(ϕ)) is detectable.

Then there exists a P ∈ An×n such that

A†P + PA− PBB†P + C†C = 0,

A− BB†P is exponentially stable, and P† = P.

Note: condition (A1) on the involution: it needs to match complexconjugation: In generalf †(z) := f (z)h 6= f (z)∗, f∼(z) := f (1/z)∗ 6= f (z)∗.

Banach algebras satisfying (A1) = symmetric Banach algebras.

Example (Symmetric even-weighted Wiener algebras)Gelfand-Raikov-Shilov condition on the weights αn:

ρ = infn>0

n√αn = lim

n→∞n√αn = 1.

Exponential weights do not satisfy this condition, but weights withρ = 1 are subexponential weights:

αn = eα|n|β, α > 0, 0 ≤ β < 1.

When the Gelfand-Raikov-Shilov condition is satisfied, the annulusA(ρ) degenerates to the circle T, and for the Banach algebra Wα(T)the involution ·∼ reduces to

f∼(z) := f (z)∗ (z ∈ T), forf ∈ Wα(T).

With this involution Wα(T) is a symmetric Banach algebra.Thus for matrices A,B,C with entries from Wα(T) their involution isthe usual Hermitian adjoint operation: A∼(z) = A(z)∗ and assumption(A1) is always satisfied.

ρ = infn>0

n√αn = lim

n→∞n√αn = 1.

αn = eα|n|β, α > 0, 0 ≤ β < 1.

f∼(z) := f (z)∗ (z ∈ T), forf ∈ Wα(T).

ρ = infn>0

n√αn = lim

n→∞n√αn = 1.

αn = eα|n|β, α > 0, 0 ≤ β < 1.

f∼(z) := f (z)∗ (z ∈ T), forf ∈ Wα(T).

With this involution Wα(T) is a symmetric Banach algebra.

Thus for matrices A,B,C with entries from Wα(T) their involution isthe usual Hermitian adjoint operation: A∼(z) = A(z)∗ and assumption(A1) is always satisfied.

ρ = infn>0

n√αn = lim

n→∞n√αn = 1.

αn = eα|n|β, α > 0, 0 ≤ β < 1.

f∼(z) := f (z)∗ (z ∈ T), forf ∈ Wα(T).

LQR control of spatially invariant systemsThe Sasane result solves the approximation problem of LQRcontrollers for spatially invariant systems for subexponential decay,but does not allow for exponential decay.

Claim by Motee and Jadbabaie, IEEE 2008They considered LQR control of a general class of spatiallydistributed systems. These include the platoon type spatially invariantsystems whose operators have components in the even-weightedalgebras Wα(T). In particular, Wτ (T) with the exponential weightsαn = eτ |n|.Theorem: spatially invariant scalar caseIf A,B,C ∈ Wτ (T) and the LQR Riccati equation

A∗P + PA− PBB∗P + C∗C = 0.

has a unique positive definite solution P ∈ L(L2(T)), thenP ∈ Wτ (T).

Counterexample: Ruth Curtain, IEEE 2008.

Claim by Motee and Jadbabaie, IEEE 2008They considered LQR control of a general class of spatiallydistributed systems. These include the platoon type spatially invariantsystems whose operators have components in the even-weightedalgebras Wα(T). In particular, Wτ (T) with the exponential weightsαn = eτ |n|.

Theorem: spatially invariant scalar caseIf A,B,C ∈ Wτ (T) and the LQR Riccati equation

A∗P + PA− PBB∗P + C∗C = 0.

The noncommutative caseSpatially distributed systems correspond to noncommutative Banachalgebras. Bunce 1985 proved a positive result for C∗-algebras, butthese are very rare and do not cover the spatially distributed case.

Recent result (Curtain 2011)Suppose that A is a unital symmetric Banach algebra and

A is a Banach *-subalgebra of L(Z), where Z is a Hilbert space;

A has the inverse-closed property :D ∈ A, D−1 ∈ L(Z) =⇒ D−1 ∈ A;

‖A‖A ≥ M‖A‖L(Z).If A,B,C ∈ A and (A,B,C) is exponentially stabilizable anddetectable wrt Z, then P ∈ A, where P ∈ L(Z) is the uniquenonnegative solution to the control Riccati equations:

A∗P + PA− PBB∗P + C∗C = 0.

With recent results by Gröchenig & Leinert (2006) this result coversthe spatially distributed LQR problem posed by Motee & Jadbabaie.

A∗P + PA− PBB∗P + C∗C = 0.

A has the inverse-closed property :

D ∈ A, D−1 ∈ L(Z) =⇒ D−1 ∈ A;

A∗P + PA− PBB∗P + C∗C = 0.

Curious

An essential step in the proof uses the following result from Curtain& Opmeer MCSS, 2006:Let P,Q be the self-adjoint solutions to the control and filter Riccatiequations

A∗P + PA− PBB∗P + C∗C = 0

QA + QA∗ − QC∗CQ + B∗B = 0.

Then the solution to the following Lyapunov equation

(A− BB∗P)X + X(A− BB∗P)∗ = −BB∗

is X = P(I + PQ)−1.

Conclusions

For commutative, unital, complex, semisimple Banachalgebras we have an elegant result for the LQR Riccatiequation; in particular, for symmetric algebras.Application to platoon-type spatially invariant systems:design of implementable control laws.Similar techniques can be used to obtain algebraicproperties of other Riccati equations, including H∞,positive-real and bounded-real type equations.Recent results: algebraic properties of the LQR Riccatiequation for inverse-closed noncommutative algebras.The results have direct applications to spatiallydistributed systems.Generalization to the algebraic properties of the LQRRiccati equation when A is an unbounded operator onA but it generates a semigroup on A.

Conclusions

For commutative, unital, complex, semisimple Banachalgebras we have an elegant result for the LQR Riccatiequation; in particular, for symmetric algebras.

Application to platoon-type spatially invariant systems:design of implementable control laws.Similar techniques can be used to obtain algebraicproperties of other Riccati equations, including H∞,positive-real and bounded-real type equations.Recent results: algebraic properties of the LQR Riccatiequation for inverse-closed noncommutative algebras.The results have direct applications to spatiallydistributed systems.Generalization to the algebraic properties of the LQRRiccati equation when A is an unbounded operator onA but it generates a semigroup on A.

Conclusions

For commutative, unital, complex, semisimple Banachalgebras we have an elegant result for the LQR Riccatiequation; in particular, for symmetric algebras.Application to platoon-type spatially invariant systems:design of implementable control laws.

Similar techniques can be used to obtain algebraicproperties of other Riccati equations, including H∞,positive-real and bounded-real type equations.Recent results: algebraic properties of the LQR Riccatiequation for inverse-closed noncommutative algebras.The results have direct applications to spatiallydistributed systems.Generalization to the algebraic properties of the LQRRiccati equation when A is an unbounded operator onA but it generates a semigroup on A.

Conclusions

For commutative, unital, complex, semisimple Banachalgebras we have an elegant result for the LQR Riccatiequation; in particular, for symmetric algebras.Application to platoon-type spatially invariant systems:design of implementable control laws.Similar techniques can be used to obtain algebraicproperties of other Riccati equations, including H∞,positive-real and bounded-real type equations.

Recent results: algebraic properties of the LQR Riccatiequation for inverse-closed noncommutative algebras.The results have direct applications to spatiallydistributed systems.Generalization to the algebraic properties of the LQRRiccati equation when A is an unbounded operator onA but it generates a semigroup on A.

Conclusions

For commutative, unital, complex, semisimple Banachalgebras we have an elegant result for the LQR Riccatiequation; in particular, for symmetric algebras.Application to platoon-type spatially invariant systems:design of implementable control laws.Similar techniques can be used to obtain algebraicproperties of other Riccati equations, including H∞,positive-real and bounded-real type equations.Recent results: algebraic properties of the LQR Riccatiequation for inverse-closed noncommutative algebras.

The results have direct applications to spatiallydistributed systems.Generalization to the algebraic properties of the LQRRiccati equation when A is an unbounded operator onA but it generates a semigroup on A.

Conclusions

For commutative, unital, complex, semisimple Banachalgebras we have an elegant result for the LQR Riccatiequation; in particular, for symmetric algebras.Application to platoon-type spatially invariant systems:design of implementable control laws.Similar techniques can be used to obtain algebraicproperties of other Riccati equations, including H∞,positive-real and bounded-real type equations.Recent results: algebraic properties of the LQR Riccatiequation for inverse-closed noncommutative algebras.The results have direct applications to spatiallydistributed systems.

Generalization to the algebraic properties of the LQRRiccati equation when A is an unbounded operator onA but it generates a semigroup on A.

Conclusions

For commutative, unital, complex, semisimple Banachalgebras we have an elegant result for the LQR Riccatiequation; in particular, for symmetric algebras.Application to platoon-type spatially invariant systems:design of implementable control laws.Similar techniques can be used to obtain algebraicproperties of other Riccati equations, including H∞,positive-real and bounded-real type equations.Recent results: algebraic properties of the LQR Riccatiequation for inverse-closed noncommutative algebras.The results have direct applications to spatiallydistributed systems.Generalization to the algebraic properties of the LQRRiccati equation when A is an unbounded operator onA but it generates a semigroup on A.

Congratulations to Birgit and Roland!

for organizing a most successful and enjoyable workshop!

This does not happen without excellent support behind the scenes. Inthis case we extend our appreciation and thanks to Kerstin Scheibler .

P.S. The morning and afternoon coffees and teas were enjoyed by all,especially the fresh fruit by those who missed breakfast and last butnot least

those delicious cakes!

P.S. The morning and afternoon coffees and teas were enjoyed by all,especially the fresh fruit by those who missed breakfast and

last butnot least

Algebraic Properties of Riccati equations

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