Matrix Quadratic Solutions

Author(s): James E. Potter

Source: SIAM Journal on Applied Mathematics, Vol. 14, No. 3 (May, 1966), pp. 496-501
Published by: Society for Industrial and Applied Mathematics
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J. SIAM APPL. MATH.
Vol. 14, No. 3, May, 1966
Printed in U.S.A.
MATRIX QUADRATIC SOLUTIONS*
JAMES E. POTTERt
Coinsider the matrix quadratic equation
(1) O = A + BX + XB*-XCX,
in which the coefficients A, B, and C are given n by n matrices and the
solution X is also required to be an n by n matrix. A formula expressing
the solutions of (1) in terms of eigenvectors of the 2n by 2n partitioned
matrix
M[C -B*]
formed from the coefficieint matrices in (1) will be obtained below. To sim-
plify the theorems, it will be assumed that M has a diagonal Jordan ca-
nonical form.
It is necessary to solve (1) in order to find the steady state solutions of
matrix Riccati differential equations [1], [2] with constant coefficients
which arise in the theory of multiwire transmission lines [3], linear filtering
and prediction [4], and optimum automatic control theory [5]. In the
Wiener theory of filtering and prediction of stationary stochastic processes
[6], the spectrum factorization step may be replaced by requiring instead
the positive definite solution of a matrix quadratic equation. As will be
seen below, this involves finding the eigenvectors of M. However, oiily
the eigenvectors corresponding to eigenvalues with positive real parts are
actually used in the solution. Thus, as might be expected, the solution of
the matrix quadratic equation in this case is operationally similar to spec-
trum factorization.
In the following analysis capital letters will be used to denote square or
rectangular matrices, lower case letters will denote column vectors, and
lower case Greek letters will denote scalars. An asterisk will be used to
represent the complex conjugate transpose of a matrix or column vector
or the complex conjugate of a scalar. It will be necessary to have a nota-
tion for the upper and lower halves of eigenvectors of M. Thus if a is an
eigenvector of M, we will write
b
*
Received by the editors December 3, 1964,
and in revised form
April 30, 1965.
t Experimental Astronomy Laboratory, Massachusetts Institute of Technology,
Cambridge, Massachusetts. This work was supported by the National Aeronautics
and Space Administration under Grant NsG 254-62.
496
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MATRIX QUADRATIC SOLUTIONS 497
where a is a 2n-dimensional column vector and b and c are n-dimensional
columin vectors.
Finally, if
di,
, dn are n-dimensional column vectors, the symbol
[di,
d2 X * dn] will be used to denote the n by n matrix whose columns
are
di, ,dn
.
THEOREM 1. Every solution of (1) has the form
X =
[bi
X * v
bn2][Ci C
*
Xn]
where the column vectors bi and ci are the upper and lower halves of an eigen-
vector ai of M. Conversely,
if
a, ..., a are eigenvectors of M and
[cl,
...
* cn]
is nonsingular, then
X =
[bi, X bn][cl C
nX
,
_
satisfies (1).
THEOREM 2. If A and C are hermitian,
a,,
...
,
an
are eigenvectors of M
corresponding to eigenvalues X1,
n,
A, and
Xi 5z? -Xj*
for 1 _ i, j _
n,
and
if
[ci ,
,
* cn]
is nonsingular, then
[bl, X bn] [ClX X Cn]_
is hermitian.
THEOREM 3. Assume that A and C are positive semidefinite hermitian and
let a1,
...
,
an
be eigenvectors of M corresponding to eigenvalue6 X1,
Xi An
In this case,
(a) if A or C is nonsingular and
X =
[b1,
-
bn][cl Cn1,
is positive definite, then X1 , ,
Xn
have positive real parts, and
(b) if X1, * ,
Xn
have positive real parts and
[cl,
...
* Cn]
is nonsingular,
then
[bi
X * bn] [cl X * * *,
Cn]J1
is po6itive semidefinite.
Solutions of (1) may also be written in the form X = DE-, where the
columns of D and E are the upper and lower halves of vectors which are
linear combinations of n eigenvectors of M. This is hardly different from
the representation given in Theorem 1 since if
D =
[(,yn,bi
+ v + 'Yn1bn), *, (QY1nb + * + INybA)]
and
E
=
[(eyiiC1
+ +
yNiCn),
...,
(YinC1
+ + -YnnCn)]
then
D =
[bi, ,bn]G
E
=
[cl,
Cn]G,
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498
JAMES E. POTTER
with G =
[,yij]
and, if E is nonsingular,
DE-' = [b1, v X bn][cl CnX
X
On the other hand, Theorem 1 implies that, if D and E are made up of
the upper and lower halves of nontrivial linear combinations of more than
n eigenvectors of M corresponding to distinct eigenvalues, then DE-' does
not satisfy (1). For suppose that a1',
...
, am' with m > n are eigenvectors
of M corresponding to distinct eigenvalues and that
X
=
DE-'
is a solution of (1) with
D =
[bl',
, bm']F
and
E =
[cl',
,
cm.]F,
with F an m by n matrix having no row whose elements are all zeros. By
Theorem 1,
X = HK
1;
where H and K are constructed from eigenvectors a1,
...
, an. Then
[ai,
. ..
, a.]
=
[a,',
...
, am']FE-'K.
Since eigenvectors corresponding to distinct eigenvalues are linearly inde-
pendent, at least one row of FE'1K must contain all zero elements. The
corresponding row of F would then be a null vector of E'1K under pre-
multiplication which is impossible
since E'1K is nonsingular.
In the applications
mentioned above,
the coefficient matrices A and C
are positive semidefinite hermitian and a positive definite hermitian solu-
tion X is sought.
If A and C are hermitian and [x] is an
eigenvector
of
M corresponding to the eigenvalue X, then [x] is an eigenvector of M*
corresponding to the eigenvalue- X, and thuse -* is an eigenvalue of M.
Hence M has at most n eigenvalues
with positive real parts and, in view
of Theorem 3, the eigenvectors
to be used in forming a positive definite
solution X are uniquely
determined.
Proof of Theorem 1. To prove
the first half of the theorem, suppose X is
a solution of (1) and let
(2)
G=CX-B*.
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MATRIX QUADRATIC SOLUTIONS 499
By (1),
(3) XG
=
A + BX.
Let S transform G into its Jordan canonical form J, that is,
(4)
S-'GS=
J
and let
(5) R = XS.
Substituting (4) and (5) into (2) and (3) to eliminate G and X yields
RJ =BR + AS
and
SJ = CR - B*S.
Thus in
(6) Rs]
=m
R
J must be a diagonal matrix. For, if
a,,
...
a,n are the columns of [R]
and J is not a diagonal matrix, then for some k,
0 = (M- XI)ak,
and
ak = (M -
XI)ak+l
Then ak is an eigenvector of M'
corresponding to the eigenvalue X. Since
M has a diagonal Jordan canonical form, its minimal polynomial is a
product of distinct linear factors:
m
(x)
=
(x-
) (X (-
)(X-)
Now
0 =
m(M)ak[l
=
(X -1)
...
(X
-
X,)ak
and since X 5z? Xi
for i = 1,
...
, p, we conclude that
ak = 0. But this is
impossible since S is nonsingular.
It follows from the fact that J is
diagoinal that
a1,
...,
an
are
eigen-
vectors of M and the desired result follows since X = RS-'. The second
half of the theorem may be proved by carrying out the steps above in
reverse order.
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500 JAMES E. POTTER
Proof of Thcorem 2. Let
(7) P
-
[clX, c,n]*[bi,
X * bn].
Since
(8) X
=
([cl),
,
cn]l)*P[cl , * Cn, c]
it is sufficient to prove that P is hermitian. Let T be the 2n by 2n matrix
T
O
:n -inl
T
In -n-|,
where O? and
In denote the n by n zero and identity matrices respectively,
and let P =
[Pjk].
Then
Pjk
=
cj*bk,
and
Pik
-
pkj
= aj Tak.
Since Xj*
-
Xk, we may write
Pjk
-
Pkj
=
(X*j
+
k)
{
Xj*a jTak +
Xkaj*Tak}
=
(Xj* + Xk)ylaj*(M*T + TM)ak
But
M*T + TM
= 0,
and hence P is hermitian.
Proof of Theorem 3. (a) Using the same notation as in the proof of
Theorem 1 we have
(9) G*X + XG
=
A + XCX.
Since the right-hand side of (9) is positive definite, it follows [7, p. 222]
that the eigenvalues of G have positive real parts. The desired result fol-
lows since, by (6), the eigenvalues of G are X1, * *, Xn.
(b) We will make use of the matrix P defined in (7) above. In view of
(8) it is sufficient to prove that P is positive semidefinite. Let U(t) denote
the 2n by n matrix
U(t)
=
[exp (-X1t)a1, , exp (-Xnt)an].
Then
d
U(t)
=
-MU(t).
dt
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MATRIX QUTADRATIC SOLUTIONS 501
Let L denote the 2n by 2n matrix
L
0 ?On
-In
[n:J
By (7) we have
P = U*(O)LU(O),
and since
U(t)
0 as t
cc,
= fd { (t)LU(t) } dt
(10)
= f
U*(t){M*L + LM}U(t) dt.
Since
M*L+LM=[ =
Jo
the integrand in
(10)
is
positive
semidefinite for
every
t and hence P is
positive semidefinite.
REFERENCES
[1] W. T. REID, A matrix
differential
equation of the Riccati type, Amer. J. Math., 68
(1946), pp. 237-246.
[2] J. J. LEVIN, On the matrix Riccati equation, Proc. Amer. Math. Soc., 10(1959),
pp. 519-524.
[3] R. L. STERNBERG AND H. KAUFMAN, Applications of the theory of systems of differ-
ential equations to multiple nonuniform transmission lines, J. Math. and
Phys., 31(1952), pp. 244-252.
[4] R. E. KALMAN AND R. S. Bucy, New results in linear
filtering
and prediction theory,
Trans. ASME Ser. D. J. Basic Engrg., 83D(1961), pp. 95-108.
[5] R. E. KALMAN, Contributions to the theory of optimal control, Proceedings of the
Conference on Ordinary Differential Equations, Soc. Mat. Mexicana,
Mexico City, 1959.
[6] N. WIENER, Extrapolation, Interpolation and Smoothing of Stationary Time Series,
John Wiley, New York, 1949.
[7] F. R. GANTMACHER, Applications of the theory of matrices, Interscience, New York,
1959.
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