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The stabilizing CARE solution is the Hamiltonian stable invariant graph
Statement
Let be the stabilizing CARE solution from Stabilizability and detectability give the unique stabilizing positive-semidefinite CARE solution, let , and define Then Moreover, has exactly eigenvalues in the open left half-plane and in the open right half-plane, none on the imaginary axis, and is its stable invariant subspace.
Facts & Assumptions
Given: The standard CARE data and the Hermitian positive-semidefinite stabilizing solution .
Standard CARE and DARE data, equations, and conventions: is Hermitian positive semidefinite and is the adjoint.
The characteristic polynomial of a block upper- or lower-triangular matrix is the product of the characteristic polynomials of its diagonal blocks: the characteristic polynomial of a block-triangular matrix is the product of those of its diagonal blocks.
For every finite-dimensional space, is exactly the set of roots in of : over , eigenvalues are precisely the roots of the characteristic polynomial.
Every nonconstant polynomial in splits into linear factors: each degree- complex characteristic polynomial has roots counted with algebraic multiplicity.
Every finite-dimensional endomorphism over an algebraically closed field has Jordan form: generalized eigenspaces span the complex space and their dimensions equal the corresponding algebraic multiplicities.
Proof
Block multiplication gives By [F1], , proving the graph identity.
Set , whose inverse is . Using [F1], The eigenvalues of the first diagonal block lie in the open left half-plane by [F1]. If is a root of its characteristic polynomial, then is a root of the characteristic polynomial of , since ; these reflected roots lie in the open right half-plane. By [F5] each diagonal characteristic polynomial has degree and splits into roots counted with algebraic multiplicity. The characteristic polynomial factorization [F3] and root/eigenvalue connection [F4] therefore give exactly eigenvalues of in each open half-plane and none on the imaginary axis. The first coordinate subspace is invariant and its restriction has the stable spectrum of . Any generalized eigenvector of the displayed triangular matrix for a stable eigenvalue has trailing component in the kernel of a power of ; that matrix is invertible because the trailing spectrum is in the open right half-plane, so the trailing component is zero. By [F6] these generalized eigenspaces have total dimension equal to the stable algebraic multiplicity from [F5], so they fill the first coordinate subspace, which is therefore the stable invariant subspace. Applying maps it to .
Depends on
- Stabilizability and detectability give the unique stabilizing positive-semidefinite CARE solution
- Standard CARE and DARE data, equations, and conventions
- The characteristic polynomial of a block upper- or lower-triangular matrix is the product of the characteristic polynomials of its diagonal blocks
- For every finite-dimensional space, $\sigma_F(T)$ is exactly the set of roots in $F$ of $\chi_T$
- Every nonconstant polynomial in $\mathbb C[x]$ splits into linear factors
- Every finite-dimensional endomorphism over an algebraically closed field has Jordan form
Used by
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Sources
- Peter Benner and Lihong Feng, Model Reduction for Dynamical Systems, Lecture 8 (standard reference, not scraped)
- Daniel Liberzon, Calculus of Variations and Optimal Control Theory: A Concise Introduction, Chapter 6 (standard reference, not scraped)