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A numerical evaluation of solvers for the periodic Riccati differential equation


Efficient and accurate structure exploiting numerical methods for solving the periodic Riccati differential equation (PRDE) are addressed. Such methods are essential, for example, to design periodic feedback controllers for periodic control systems. Three recently proposed methods for solving the PRDE are presented and evaluated on challenging periodic linear artificial systems with known solutions and applied to the stabilization of periodic motions of mechanical systems. The first two methods are of the type multiple shooting and rely on computing the stable invariant subspace of an associated Hamiltonian system. The stable subspace is determined using either algorithms for computing an ordered periodic real Schur form of a cyclic matrix sequence, or a recently proposed method which implicitly constructs a stable deflating subspace from an associated lifted pencil. The third method reformulates the PRDE as a convex optimization problem where the stabilizing solution is approximated by its truncated Fourier series. As known, this reformulation leads to a semidefinite programming problem with linear matrix inequality constraints admitting an effective numerical realization. The numerical evaluation of the PRDE methods, with focus on the number of states (n) and the length of the period (T) of the periodic systems considered, includes both quantitative and qualitative results.

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Correspondence to Stefan Johansson.

Additional information

Communicated by Axel Ruhe.

Financial support has been provided in part by the Swedish Foundation for Strategic Research (the frame program grant A3 02:128), by the Swedish Research Council (the grant 2008-5243), EU Mål2 Structural Funds (UMIT-project), and by the Russian Federal Agency for Science and Innovation (the project 02.740.11.5056).

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Gusev, S., Johansson, S., Kågström, B. et al. A numerical evaluation of solvers for the periodic Riccati differential equation. Bit Numer Math 50, 301–329 (2010).

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  • Periodic systems
  • Periodic Riccati differential equations
  • Orbital stabilization
  • Periodic real Schur form
  • Periodic eigenvalue reordering
  • Hamiltonian systems
  • Linear matrix inequalities
  • Numerical methods

Mathematics Subject Classification (2000)

  • 15A21
  • 15A39
  • 34K13
  • 49N05
  • 65F15
  • 65P10
  • 70M20
  • 70Q05
  • 90C22