On The Time-Varying Riccati Difference Equation of

SIAM J.
CONTROL AND OPTIMIZATION (C) 1992 Society for Industrial and Applied Mathematics
Vol. 30, No. 6, pp. 1251-1269, November 1992 001
ON THE TIME-VARYING RICCATI DIFFERENCE EQUATION OF

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OPTIMAL FILTERING*
GIUSEPPE DE NICOLAOt
Abstract. This paper studies the time-varying Riccati difference equation (RDE) for the filtering problem.
In particular, existence, stabilizability, and attractiveness properties of the real symmetric solutions that
remain bounded on (-o, +oo) (infinite-time solutions) are investigated. Under the assumption of uniform
detectability, conditions for the existence of the maximal and stabilizing solutions are given. Analogous
results are worked out for the minimal and antistabilizing solutions by making reference to the uniform
antidetectability notion. Moreover, it is zhown that, under uniform observability, the set of all symmetric
infinite-time solutions constitute an infinite number of lattices with common minimal and maximal elements.
Key words. Riccati difference equation, linear time-varying systems, Kalman filtering, optimal control,
stabilizability and detectability
AMS(MOS) subject classifications. 49N10, 93C50, 93C55, 93Ell, 93E20
1. Introduction. Since the early 1960s, it has become clear that the matrix Riccati
equation is the keystone of a number of filtering and control problems. Thirty years
later, due to the effort of a multitude of authors, the theory of the time-invariant Riccati
equation, although yet in progress, appears rich and consistent. It would be beyond
the scope of the present Introduction to mention all the relevant contributions, and
the following summary does not advance any claim of completeness. To make life
easy, we will only refer to the Riccati equation for the filtering problem, taking for
granted that the results extend by duality to the optimal control Riccati equation.
In the pioneering works of Kalman 1] and Bucy [2], the algebraic Riccati equation
(ARE) was investigated under the assumptions of controllability and observability to
derive the uniqueness of the symmetric positive semidefinite (SPS) solution, the stability
of the closed loop system, and the asymptotic convergence properties. The relaxation
of these hypotheses to the weaker ones of stabilizability and detectability is due to the
works of Wonham [3] and Kucera [4], in continuous time, and Caines and Mayne I-5]
in discrete time. Starting from the early 1970s, there was a growing interest in the study
of the nonstabilizable case. We can mention the contributions of J. C. Willems [6],
Martensson [7], Kucera [8], Molinari [9], and, more recently, Callier and J. L. Willems
[10], Chan, Goodwin, and Sin [11], and De Souza, Gevers, and Goodwin [12]. In the
nonstabilizable case, the ARE admits more than one SPS solution, and the problem
of the classification of the solutions arises. It has been shown that under detectability
assumptions, a maximal solution exists, and conditions for this solution to be stabilizing
have been provided. The convergence of the SPS time-varying solutions of the time-
invariant differential or difference Riccati equation toward the SPS solutions of the
ARE was also studied. The classification of all the real symmetric solutions (positive,
negative, or even nondefinite) of the ARE calls for the works of J. C. Willems [6],
Coppel [13], Callier and J. L. Willems [10], and Shayman [14]. A major result was
the characterization of all the real symmetric solutions as a distributive lattice having
Received by "the editors May 9, 1990; accepted for publication (in revised form) April 12, 1991.
Research for this paper was supported by the Centro di Teoria dei Sistemi of the Italian National Research
Council (CNR) and by the Ministry of University and Scientific and Technological Research (MURST)m
Project "Model Identification, Systems Control, Signal Processing."
"
Centro Teoria dei Sistemi--Consiglio Nazionale delle Ricerche, c/o Dipartimento di Elettronica,
Politecnico di Milano, Piazza Leonardo da Vinci 32, 20133 Milano, Italy.
1251
1252 GIUSEPPE DE NICOLAO
the maximal and minimal solution as extremal elements. When we turn to the time-
varying Riccati equation, much of the richness of the time-invariant case is lost. By
suitably defining the notions of uniform reachability and observability, Kalman [1]
and Bucy [2] (Deyst and Price [15] for the discrete-time case) showed that their main
results also hold true in the time-varying case. Indeed, they proved that, under these
assumptions, there is a unique SPS "moving equilibrium" and that the closed-loop
system is asymptotically stable for any solution, independently of the (SPS) initial
condition. An attempt to extend the RDE analysis with stabilizability and detectability
to the time-varying discrete-time case was made by Hager and Horowitz [16] and
Anderson and Moore [17]. The major contributions in [17] were (a) the exploration
of equivalent definitions of uniform stabilizability and detectability; (b) the demonstra-
tion of a time-varying version of the Lyapunov lemma under stabilizability assumptions;
and (c) the exponential stability of the closed-loop system under stabilizability and
detectability. Only recently, in the context of continuous-time infinite-dimensional
systems, Da Prato and Ichikawa [18] have established some existence and convergence
results for the SPS solutions of the time-varying Riccati equation. In particular, a
necessary and sufficient condition for the existence of a bounded SPS solution has
been proved together with some results relative to the stabilizing and maximal solutions.
However, to the author’s knowledge, the study of the negative semidefinite solutions,
together with the notions of minimal and antistabilizing solution and the classification
of all the symmetric solutions, has remained an unexplored region, at least for the
most general time-varying case. Only for the class of periodically time-varying systems,
the theory of the periodic Riccati equation appears almost as complete as its stationary
counterpart; see, e.g., [19]-[22].
The purpose of this paper is to fill some of the gaps between the theory of the
stationary RDE and the theory of the time-varying RDE. The analysis will be carried
out only in discrete time, but a derivation of the analogous continuous time results
should, in principle, be possible. The attention will be focused on the solutions
remaining bounded on (-oo, +oo), which will be termed "infinite-time" solutions.
Conversely, the solutions that are obtained starting with a given initial condition will
be called "finite-time solutions." The symmetric infinite-time solutions will be shown
to enjoy many of-the properties that in the stationary case characterize the constant
solutions of the RDE. In particular, uniform detectability and stabilizability guarantee
the existence of a unique SPS infinite-time solution, which is attractive for all the SPS
finite-time solutions. When the stabilizability assumption is removed, the uniqueness
falls. However, it can be proved that a maximal infinite-time solution exists and is
attractive for a certain set of finite-time solutions. By means of a device that allows us
to reduce the study of the symmetric negative semidefinite (SNS) solutions of the RDE
to the study of the SPS solutions of a suitably modified RDE, the SNS solutions are
explored, also. In this context, the notions of antistabilizability, antidetectability, SNS,
antistabilizing, and minimal solution take the place of stabilizability, detectability,
SPS, stabilizing, and maximal solution. Finally, a classification of all the symmetric
solutions is provided. It is shown that, under certain assumptions, the set of all
symmetric infinite-time solutions can be grouped in an infinite number of isomorphic
distributive lattice that share the same maximal and minimal elements (the maximal
and the minimal solution, respectively).
The layout of the paper is as follows. In 2 some preliminary definitions are given
and the notion of "infinite-time" solution is introduced. Sections 3 and 4 are devoted
to the SPS and SNS solutions, respectively. In 5 the results of the previous sections
are put together to give a comprehensive picture of all the symmetric solutions and
TIME-VARYING RICCATI EQUATION 1253
the lattice structure is proved. Finally, the Appendix includes a number of auxiliary
lemmas that are employed throughout the paper.
2. Preliminaries.
2.1. Structural properties. Consider the following discrete-time, time-varying,
linear system:
(la) x(t + 1)= A(t)x(t)+ v(t),

(lb) y(t) C(t)x(t)+ w(t),
where A(t) Z--> R n", B(t) Z--> R nxm, C(t) Z--> R pin are bounded matrices on
(-oo, +oo), and v(. and w(. are independent zero-mean white noises having bounded
covariance matrices Q(.) and R(.), respectively, with Q(t)-> 0 and R(t) > 0, for
all t. Moreover, it will also be assumed that R(. )-1 is bounded. The transition matrix
of A(t) will be denoted by (t2, tl), t2 tl.
A first important notion regarding system (1) is provided in the following definition.
DEFINITION 1 (exponential stability). A(.) is said to be exponentially stable on
[to, I] if there exist positive constants a and/3 such that
II( t2, tl)ll < a e -t(’z-tl, to <-- tl < t2 <-- tf.
A(. is said to be exponentially stable if it is exponentially stable on (-o, +).
The above definition looks unusual. However, it will prove useful later in discussing
the exact statement of the Lyapunov lemma.
It is well known that the notion of stability plays a key role in the analysis of SPS
solutions of the RDE. It will prove that, when analyzing the SNS solutions, an analogous
role is played by the antistability notion.
DEFINITION 2 (exponential antistability). A(.) is said to be exponentially anti-
stable on [to, tl] if A(t) is nonsingular for t[to, ts], and A(.)-I is exponentially
stable on to, ts ].
A(.) is said to be exponentially antistable if it is exponentially antistable on
(-, +).
In the stud of filtering and control problems, suitable modifications of the concepts
of reachability and observability, under the names of uniform reachability and uniform
observability, have proved particularly effective; see, e.g., 1 ]. For stationary systems,
stabilizability and detectability can be seen as the natural relaxations of the controllabil-
ity and observability notions. To extend to time-varying systems some results already
known for the time-invariant case, the notions of uniform stabilizability and detectabil-
ity were introduced in [16], [17]. In particular, in the latter reference, an exploration
of equivalent definitions, together with an analysis of the duality between stabilizability
and detectability, was carried out. In the following, we will use the uniform stabilizabil-
ity criterion reported below. The definition of uniform antistabilizability is also
introduced.
Uniform stabilizability and detectability criterion [17]. The pair (A( ), B( ))

[(A(. ), C(. ))] is uniformly stabilizable (detectable) if and only if there exists a bounded
matrix function K(. such that A(. )+ B(. )K(. [A(. )+ K(. )C(. )] is exponentially
stable.
DEFINITION 3 (uniform antistabilizability and antidetectability). The pair
(A(.), B(. )) [(A(. ), C(. ))] is said to be uniformly antistabilizable (antidetectable) if
there exists a bounded matrix function K(.) such that A(.)+B(.)K(.) [A(.)+
K (.) C (.) is exponentially antistable.
It can be shown that uniform reachability (observability) implies both uniform

stabilizability (detectability) and uniform antistabilizability (antidetectability). In other
words, if the pair (A(.), B(. )) is uniformly reachable, it is simultaneously uniformly
stabilizable and antistabilizable.
Remark 1. Recently, in [23], a counterexample was adduced that seemed to infirm
the uniform stabilizability criterion. Precisely, it was claimed that uniform stabilizabil-
ity, as defined in [17], does not imply the existence of an exponentially stabilizing
gain. In point of fact, as shown in [24], the time-varying pair (A(.), C(. )) considered
in the counterexample, in contrast to the assertion of [23], does not satisfy the uniform
detectability definition given in [17], so that the purported confutation is not valid.
2.2. Lyapunov and Riccati equations. It is well known that the state covariance
matrix Var Ix(t)] obeys the following Lyapunov difference equation (LDE):
(2) X( + 1) A( t)X( t)A( t)’ + Q( t).

Precisely, assume that X(to) is a random variable independent of v(t) and w(t), => to,
and let X(to) Var X(to). Then, X(t) Var [x(t)], => to.
The problem of finding the optimal (in the mean square sense) one-step prediction
x(t + lit) is solved by means of the optimal Kalman predictor
x(t + 11 t)= F(t)x(t t- 1)+ K(t)y(t), F(t) A(t)- K(t)C(t),
K(t)= A(t)X(t)C(t)’[C(t)X(t)C(t)’+ R(t)]-’,
where X(t) is the solution of the RDE
X(t+ 1)= A(t)X(t)A(t)’+ Q(t)

(3)
-A(t)X(t)C(t)’[C(t)X(t)C(t)’+ R(t)]-C(t)X(t)A(t) ’,
with initial condition X(to)= Var [X(to)]. The matrix function F(.) is the so-called
closed-loop matrix, whereas K (.) is the celebrated Kalman gain. For each -> to, X (t)
provides the variance of the state prediction error.
In the stationary case, a vast amount of literature has flourished around the
constant solutions of the RDE, which satisfy the so-called algebraic Riccati equation
(ARE). Indeed, whenever such constant solutions are attractors for a class of noncon-
stant solutions, they provide an appealing tool for designing suboptimal constant
predictors. Moreover, significant links between the constant solutions of the RDE and
problems like spectral factorization and stochastic realization have been pointed out.
It would seem that in the time-varying case there are no "privileged" solutions of the
RDE, since all solutions are time-varying. However, for the particular class of periodi-
cally time-varying systems, it has been demonstrated that the periodic solutions of the
periodic RDE play the same role as the constant solutions of the constant RDE
[19]-[22]. In this paper, it will be shown that the analogy can be extended to the most
general case of arbitrarily varying systems. Precisely, the time-varying equivalents of
the constant solutions are provided by the solutions of the RDE that remain bounded
on (-, +). This leads to the following definitions, where the expressions "finite
time" and "infinite time" refer to the initial condition.
DEFINITION 4 (finite-time solution of the RDE and LDE). By finite-time solution

X(.) of the RDE [LDE], we mean a bounded matrix function X(.) defined over
[to, +), which satisfies the RDE [LDE].

DEFINITION 5 (reversed finite-time solution of the RDE and LDE). By reversed
finite-time solution X(.) of the RDE [LDE], we mean a bounded matrix function
X(.) defined over (-c, to], which satisfies the RDE [LDE].
DEFINITION 6 (infinite-time solution of the RDE and LDE). By infinite-time
solution X(. of the RDE [LDE], we mean a bounded matrix function X(. defined
over (-, +c), which satisfies the RDE [LDE].
In the following, we will mainly deal with infinite-time solutions. Therefore,
whenever not explicitly stated, "solution of the RDE" will mean "infinite-time solution
of the RDE."
As already mentioned, some solutions of the ARE may enjoy the property of
being attractive for a set of time-varying solutions. For example, in the stationary case,
it is well known that, under stabilizability and detectability assumptions, all the SPS
solutions of the RDE asymptotically converge to the unique SPS solution of the ARE.
An extension of this notion to the time-varying case traces back to 1], where the term
"moving equilibrium" was coined to denote the attractive time-varying SPS solution
that exists under uniform reachability and observability. In our investigation of the
convergence properties of the solutions of the time-varying RDE, the following gen-
eralization of the notion of moving equilibrium will prove useful.
DEFINITION 7 (moving equilibrium).
(i) An infinite-time solution X(.) of the RDE [LDE] is said to be a moving
equilibrium for a certain set S of finite-time solutions of the RDE [LDE] if,
for any finite-time solution X (.) S, limt_ X (t) X (t) 0.
(ii) An infinite-time solution X(.) of the RDE [LDE] is said to be a moving
equilibrium for a certain set S of reversed finite-time solutions of the
RDE [LDE] if, for any reversed finite-time solution X(. ) S, limt__ X(t)-
X(t) :0.
2.3. Extended Lyapunov lemma. In the stationary case, it is well known that there
is a strict relationship between the stability properties of system (la) and the constant
SPS solutions of the LDE. Such a relationship is clarified by the renowned Lyapunov
lemma, which, in its more general formulation, holds under the stabilizability assump-
tion. The extension of the Lyapunov lemma to the time-varying case is provided in
[25], under uniform reachability, and [17], under uniform stabilizability. By making
reference to the notion of infinite-time solution, such a lemma can be given the following
formulation.
LEMMA 1 (extended Lyapunov lemma). Suppose that (A(.), Q(.)) is uniformly
stabilizable and A(. and Q(. are bounded. Then, if there exists an infinite-time SPS
solution X(.) of the LDE (2), A(.) is exponentially stable. Conversely, if A(.) is
exponentially stable, there exists a unique infinite-time SPS solution X(. of the LDE.
Remark 2. Note that in [17] the Lyapunov lemma is correctly stated for the dual
of (2), whereas the statement relative to (2) is imprecise 17, Thm. 4.3]. Indeed, it says
(correctly) that, under uniform stabilizability, the existence of a finite-time SPS solution
of the LDE on to, +) implies the exponential stability of A(. on to, +). However,
it is not true that the exponential stability of A(. on to, +c) entails the existence of
a unique finite-time SPS solution of the LDE on [to, +). A counterexample can be
easily found by taking A(t)=0.5, Q(t)= 1, for all t, and two different SPS initial
conditions for X(to): each of the initial conditions gives rise to a different bounded
solution of the LDE. If the uniqueness of the solution is to be preserved, the correct
statement would be as follows:
Suppose that (A(.), B (.)) is uniformly stabilizable and A(. and B(.
are bounded. Then, if there exists a reversed finite-time SPS solution X(. of
the LDE (2) on (-oo, to], A(. is exponentially stable on (-oo, to]. Conversely,
if A(. is exponentially stable on (-oo, to], there exists a unique reversed
finite-time SPS solution X(. of the LDE on (-oo, to].
Then, by taking the limit for to--> oo, Lemma 1 is obtained.
Finally, note that, if A(. is exponentially stable, the infinite-time solution of the
LDE proves to be a moving equilibrium for the set of all SPS finite-time solutions.
3. Maximal and nonnegative solutions. The present section will be devoted to the
analysis of the nonnegative definite solutions of the RDE under the hypotheses of
stabilizability and detectability, as well as detectability alone. We begin with two basic
definitions.
DEFINITION 8 (maximal solution). A symmetric infinite-time solution X/(.) of
the RDE is said to be maximal if, for any symmetric infinite-time solution X(.) of
the RDE, X/( t) X( t) >- O, for all t.
DEFINITION 9 (stabilizing solution). A stabilizing solution is an infinite-time
symmetric solution X(. of the RDE such that the corresponding closed-loop matrix
F(. is exponentially stable on (-oo, /oo). A finite-time stabilizing solution is a sym-
metric finite-time solution X(. of the RDE on [to, /oo) such that the corresponding
closed-loop matrix F(. is exponentially stable on [to, /oo).
Below, a sufficient condition for the existence of the maximal solution will be
proved. Such a condition can be seen as an extension of a time-invariant result [7],
[8]. However, differently from [7] and [8], herein the demonstration calls for a
quasi-linearization (Newton) technique. The application of the Newton algorithm to
the ARE traces back to [26], [27] for the continuous-time case, and [5], [28] for the
discrete-time one. In all these papers, controllability and observability assumptions
(sometimes relaxed to stabilizability and detectability) were made, so as to ensure the
existence of a unique SPS solution of the ARE. In [6] it was pointed out that, under
the sole hypothesis of observability, the Newton algorithm converges to the maximal
(minimal) solution of the continuous-time ARE whenever it is started with a stabilizing
(antistabilizing) gain. As for the time-varying case, we refer to [29], where, under the
hypotheses of uniform reachability and uniform observability that guarantee the
existence of a unique SPS moving equilibrium, the convergence of the quasi-lineariz-
ation technique to such an equilibrium is proved. Finally, in a recent paper on the
periodically time-varying difference Riccati equation [22], the sole-detectability has
been shown to be a sufficient condition for the convergence of the Newton method to
the periodic maximal solution. We generalize this result to the time-varying case by
means of the following result.
THEOREM 1. Let (A(.), C(’)) be uniformly detectable and consider the sequence
of LDEs
(4) Xi+(t+l):Ai(t)Xi+l(t)Ai(t)’+Q(t)+Ki(t)R(t)Ki(t)’, i>-O,
where
Ai( t) A( t) K,(t)C(t), >: O,

K,(t) A(t)Xi(t)C(t)’[R(t)/ C(t)Xi(t)C(t)’] -1
and Ko(" is chosen so as to ensure the exponential stability of Ao(" ). Then,

(i) For each > O, (4) admits a unique real symmetric solution Xi/l(" ). Moreover,
this solution is SPS and such that Ai/l(" is exponentially stable;

(ii) For any t, {Xi(t)) is a nonincreasing sequence that, for i-oo, converges to
X(. ), where X(. is an infinite-time solution of the RDE (3);
(iii) 3’(-) coincides with the maximal solution X/( ).
Proof. The proof of points (i) and (ii) is completely analogous to the proof of
[22, Thm. 3], where a parallel result is established for periodic systems. The only
difference is the use of the time-varying extended Lyapunov lemma in place of its
periodic version. As for point (iii), consider any symmetric solution X(. of the RDE
and let Y;(t)- Xi/( t) X( t). Then, from (3) and (4) it can be seen that Y(.) is a
symmetric solution of the following LDE:
Y( + 1) A,( t) Y( t)A,( t)’ + [K,(t) K (t)][ C( t)X( t)C( t)"+ R( t)] Ki( t) K t)]’.
In view of point (i), A(.) is exponentially stable, so that the extended Lyapunov
lemma implies that Y(t) is positive semidefinite for each t. Consequently, X(t)-
X (t) lim_ Y (t) is also positive semidefinite for each t.
The attention is now focused on the stabilizing solution and its relationships with
the maximal one. If the RDE admits a stabilizing solution, we can use the corresponding
Kalman gain to initialize the quasi-linearization procedure. This straightforwardly
leads to the following result that, with reference to the infinite-dimensional and
continuous-time case, can also be found in [18].
PROPOSITION 1. The stabilizing solution of the RDE (3) (if any) coincides with the
maximal solution and (therefore) is unique.
Detectability is clearly a necessary condition for the existence of a stabilizing
solution, but it is not sufficient. For example, in the theory of the time-invariant RDE,
we must add the hypothesis that there are no (A, B)-unreachable eigenvalues on the
unit circle to have a sufficient condition; see, e.g., [11], [12]. Although analogous
sufficient conditions are available for the periodically time-varying case [21], the
extension of this kind of result to the most general time-varying RDE appears difficult.
However, it is still possible to provide a more restrictive sufficient condition that relies
on detectability and stabilizability. The analysis of the Riccati equation under these
hypotheses dates back to the papers by Wonham [3] and Kucera [4] on the ARE. The
main result states that stabilizability and detectability constitute a necessary and
sufficient condition for the existence of a unique SPS solution of the ARE and the
stability of the closed-loop matrix. Moreover, such a solution of the ARE was shown
to be attractive for all the SPS solutions of the associated RDE. When passing to the
time-varying case, we must recall a result of Kalman [1]" uniform reachability and
uniform observability guarantee the existence of a unique moving equilibrium, which
is, in fact, stabilizing. The relaxation of the assumptions to uniform stabilizability and
detectability is not difficult, thanks to the following result, which was proved in 17].
THEOREM 2 (Anderson and Moore [17]). If (A(.), C(. )) is uniformly detectable
and (A(.), Q(. )) is uniformly stabilizable, then every SPS (finite-time as well infinite-
time) solution X(. of the RDE is stabilizing.
We are now in a position to give a sufficient condition for the existence of the
stabilizing solution, as well for its attractiveness.
THEOREM 3. If (a(" ), C(. )) is uniformly detectable and (A(. ), Q(. )) is uniformly
stabilizable, then the RDE admits a unique SPS solution, which is, in fact, stabilizing.
Moreover, such a solution is a moving equilibrium for all the SPS finite-time solutions of
the RDE.
The stabilizing property follows directly from Theorem 2. Any SPS solution
Proof.
being stabilizing, Proposition 1 implies that the SPS solution is unique and maximal.
We now prove that the solution X/( is a moving equilibrium. Indeed, let X(. be
any SPS finite-time solution of the RDE. It can be seen that
X+(t + 1) X(t + 1) F+( t)[X+(t) X( t)]F( t)’,
where F/(.) and F(.) are the closed-loop matrices relative to X/(.) and X(.),
cally goes to zero for .

respectively. Since F/( and F(. are exponentially stable, X/(t)-X(t) asymptoti-
Indeed, denoting by @v+(t, to) and F(t, to) the transition
matrix of F/(t) and F(t), respectively, it follows that
IIx/(t)-X(t)ll <-_ II+(t, to)[[ [[X+(to)-X(to)[[ II(t, to)’[I,
where both IIcI,,+(t, to)ll and II,(t, to)ll tend to zero for t-> oo. [3
Finally, we will characterize the moving equilibrium property of the maximal
solution in the nonstabilizable case. As seen in the previous theorem, the convergence
analysis of the solutions of the RDE under stabilizability and detectability is made
easy by the fact that every (finite-time or infinite-time) solution is stabilizing. Conversely,
the difficulties in the nonstabilizable case are witnessed by the fact that, until recently
11 ], 12], there had been no systematic study even for the time-invariant RDE. Theorem
4, below, extends to the time-varying RDE a result relative to the stationary case,
which can be found in 12, Thm. 4.2]. In the proof, the following lemma will be needed.
LEMMA 2. Consider two RDEs (3) with the same A(. ), C(. ), and R(.) matrices
but possibly different Q(. matrices and possibly different initial conditions. Let the
solutions to these RDEs be written as
X( + 1) A( t)Xi( t)A( t)’ + Qi( t)
-
-A(t)X(t)C(t)’[C(t)X(t)C(t)’+ R(t)]-lc(t)Xi(t)A(t) ’,
with Xi( to) Xi, o, 1, 2. Then, Xl,o>_- X2, 0 and Ql(t) >= Qe( t), >-_ to, imply that X( t) >-
Xe(t), to
Proof. The proof is completely analogous to the proof given in [30] for the
time-invariant version of the same lemma, and is therefore omitted. Note that the proof
in [30] relies on a result originally proved by Nishimura [31] in a time-varying context.
THEOREM 4. Assume that (A( ), C( )) is uniformly detectable and let X+( denote
the maximal solution. Then, if X(. is a finite-time solution of the RDE with initial
condition X(to) Xo>= X+(to), limt_ooX(t)-X+(t)=0.
Proof. The proof is inspired by [12], where an analogous result is proved in the
time-invariant case. Consider the family of RDEs
Xk( 1) A( t)Xk( t)A( t)’ + Qk( t)
d-
-A( t)Xk( t)C( t)’[ C( t)Xk( t)C( t)’ + R( t)] -1C(t)Xk(t)A(t)’,
(5) Xg(to)=Xo,
1
Qk( t) Q( t)
Then, in view of Lemma 2, we have
+ I, k 1, 2,.’..
X+(t)<-X(t)<-X,+,(t)<-Xk(t),
t>=to, k:l,2,’".
By the definition of Q(t), (A(.), Qk(" )) is uniformly stabilizable. Then, by Theorem
3, limt. Xk(t) X(t), where X{(. is the maximal solution of (5). It is not difficult
to see that
X+(t)<X ++,(t)<-X(t)
+
Vt, k= 1,2,....
Now, we take the limit for k-oo. X-(t) is monotonically nonincreasing (in the sense
that X-+(t)<-_X-(t)) and bounded below by X+(t). Hence, there exists some .(.)
such that limk_ooX-(t)--(t)=0, for all t. Recalling (5), such a limit 3(.) proves
to be an infinite-time solution of the RDE (3). Moreover, ;( t) >= X/( t), for all t.
Therefore, X/( being maximal, .,’(. )= X/( ). It follows easily that lim,_oo X(t)-
x+() =0.
An analogous convergence result can be found in [18, Prop. 3.2], where the
attractiveness from above of the stabilizing solution is established. Apart from the fact
that [18] refers to a different context (infinite-dimensional, continuous-time, Riccati
equations), Theorem 4 is therefore more general, in that the stabilizing solution, if
any, is maximal, but the maximal" solution is not necessarily stabilizing.
4. Minimal and nonpositive solutions. In this section, the nonpositive solutions of
the RDE will be considered. The aim is to derive a set of results parallel to those
established in the previous section. The key notions will be antidetectability and
antistabilizability, as well as the notions of minimal and antistabilizing solution that
are given below.
DEFINITION 10 (minimal solution). A symmetric solution X-(. of the RDE (3)
is said to be minimal if, for any symmetric solution X(. of the RDE, X-(t)-X(t) <-0,
for all t.
DEFINITION 11 (antistabilizing solution). A symmetric solution X(. of the RDE
is said to be antistabilizing if the corresponding closed-loop matrix function F(. is
exponentially antistable.
The analysis will be carried out by showing that there is a one-to-one correspon-
dence between the nonpositive solutions of the RDE (3) and the nonnegative solutions
of a suitably redefined RDE. In the continuous-time case, such a correspondence
would be easily established by simply reversing the time axis. Given a Riccati differential
equation characterized by (A(t), Q(t), C(t), R(t)), consider the "reversed" Riccati
differential equation corresponding to (-A(-t), Q(-t), C(-t), R(-t))" if X(t) is an
SNS solution of the original Riccati equation, -X(-t) is an SPS solution of the
"reversed" equation, and vice versa. In discrete time, as shown below, the correspon-
dence is not so easily worked out, and some technicalities are required. From now on,
it is implicitly assumed that A(.)- exists and is bounded. Some discussion on the
merits of such assumption can be found at the end of this section. First, let us define
the "reversed system."
DEFINITION 12 (reversed system). Assume that A(t) is nonsingular for each
and let
(6a) .(t)= A(-t) -,
(6b) ((t) A(-t) -1Q(-t)A(-t) -1’,
(6c) C(t)=C(-t+l),
(6d) R(t)=R(-t+l).
Then the reversed system associated with system (1) is
(7a) ( + 1) A( t)(t) + 7(t),
(7b) 97(t) C( t):[.( t) + (t),
where (.) and if(.) are independent zero-mean white noises having covariance
matrices 0(" and/(. ), respectively.
Observe that, if (r)=X(--r+ 1), (t)=--(t)v(--t), and (t)= w(-t+ 1), t_ > z,
then 2(t)=x(-t+ 1) and (t)=y(-t+ 1), for each t- > z. In other words, the reversed
system is nothing but a representation of system (1) when the time axis is reversed.
Note also that by reversing system (7), we turn back to the original system (1).
Associated with the reversed system (7) is the following reversed Riccati difference
equation:
(8)
(t / 1) (t)(t)(t)’/ ((t)
-
-,( t)’( t)( t)’[ ( t)( t)( t)’+/ (t)] ( t)’( t)A( t)’.
To clarify the relationships between the solutions of (8) and (3), we first provide a
result on the structural properties of (7). The proof is straightforward and is therefore
left to the reader.
PROPOSITION 2.
(a) Matrix ,(. is exponentially stable (antistable) if and only if A(. is exponen-
tially antistable (stable).
(b) The pair (,(.), 0(’)) [(,(’), ((’))] is uniformly reachable (observable) if
and only if the pair (A(. ), Q(.)) [(A(.), C(.))] is uniformly reachable
(observable).
(c) The pair (A(.), Q(. )) is uniformly stabilizable (antistabilizable) if and only if
the pair (A(.), Q(. )) is uniformly antistabilizable (stabilizable).
(d) The pair (,( ), ( )) is uniformly detectable (antidetectable) if and only if the
pair (A(.), C (.)) is uniformly antidetectable (detectable).
We are now in a position to prove the following theorem that establishes a
one-to-one correspondence between the SPS (SNS) solutions of (8) and the SNS (SPS)
solutions of (3).
THEOREM 5. Assume that A(t) is nonsingularfor each t. Let Y(-t + 1) -X(t), and
(9) ’(t + 1)- ,(t) Y(t)(t)’+ O(t).
Then
(a) (.) SPS (SNS) solution of the RDE (8) if and only fiX(.) is an SNS
is an
(S PS) solution of the RDE (3);
(b) Denoting by K(.) the Kalman gain associated with an SNS (SPS) solution
X(.) of the RDE (3) and letting I(t)=(t)f(t)(t)’[(t)ff(t)(t)’+
(t) ]-1, the closed-loop matrix A(. K (.) C (.) is antistable (stable) if and
only if the closed-loop matrix (. I7((. (.) is stable (antistable);
(c) Letting XI(" ), X2(" be two SNS (SPS) solutions of the RDE (3) and 1(’),
2(" ), the correspondin SPS (SNS) solutions of the RDE (8), XI(" )-> X2(.
if and only if X1 (") <- X2(. ).
Proof of (a). Assume that X(. is an SNS solution of the RDE (3). Then
V(t) -(t) -1Y(t + 1)(t)’-I + (t)-i ((t)(t)
-(t) -1Y(t + 1)(t / 1)’[/(t / 1)- (t / 1) Y(t / 1) ((t / 1)’] -1
(t+ 1) Y(t+ 1)(t) ’-1,

which implies that
(10) ’(t) Y(t)/ Y(t)(t)’[_(t)-(t) Y(t)(t)’]-l(t) Y(t).
Now, in view of Lemma A1 (in the Appendix), (t)-(t)Y(t)?(t)’>O. Therefore,
from (10) and Lemma A2, it follows that
(11) Y(t)- f(t)- f(t)(t)’[!(t)/ (t)f(t)(t)’]-l(t)f(t).
By substituting this expression in (9), it is easy to see that (. satisfies the RDE (8).
Conversely, suppose that X(. is an SPS solution of the RDE (8). From (8) and
(9), follows that (11) holds. Now, in view of Lemma A3, (10) holds, also, so that
it
by substituting (10) into (9), X(. is easily shown to satisfy the RDE (3).
As for the SPS solutions of the RDE (3), recall that the reversed system associated
with (7) coincides with system (1). Therefore, there also exists a one-to-one correspon-
dence between the SPS solutions of (3) and the SNS solutions of (8).
Proof of (b). Let us consider an SNS solution X(.) of (3). First, note that the
invertibility of A(t) and Lemma A4 imply that (t)-(t)(?(t) is nonsingular, for
all t. By resorting to the matrix inversion lemma,
.(t) --/ (t) (t) [[1 + ( t)( t)’J (t) ( t)]( t)-l]
-1
-.
Define F(-t+l)=[I+2(t)(?(t)’(t)-(?(t)]. Note that, since 2(.), (.), and
/(.)- are bounded, F(.)- is bounded. As seen above, expression (10) holds true.
Then, the matrix inversion lemma implies that
2( t)(( t)’/ (t)-’ ((t)
=[ Y(t) + Y(t)(t)’[(t)-(t)Y(t)(t)’]-a(t)Y(t)](t)’(t)-’(t)
Y( t)( t)’[/ (t) (t) Y( t)( t)’] (t).-1
Therefore,
F(t) I-X(t)C(t)’[R(t)+ C(t)X(t)C(t)’]-lC(t) and
fi(t)-I(t)((t)=A(-t)-lF(-t+ 1) -1.
Denote by (k, s) and (k, s) the transition matrices relative to A(. )- K(. )C(.
and (.)-/(.)((.), respectively. Then, (k,s)=A(-k+l)-lq(-s,-k+2)-lF
(-s + 1)-1 and the thesis is proved
As for the SPS solutions of the RDE (3), the same observation as at the end of
the proof of (a) applies.
Proof of (c). The proof is straightforward in view of (9). U
When X(. is SNS, ’(. defined in (9) is SPS and satisfies the RDE (8). Hence,
(. can be seen as the covariance of the state prediction error relative to system (7).
Now, (9) is the classical time-update equation of the Kalman filter, so that Y(.)
coincides with the covariance of the. state filtering error. Therefore, given any SNS
solution X(. of (3), its reversed opposite Y(. can be interpreted as the covariance
of a state filtering error relative to the reversed system (7). On the other hand, the SPS
solutions are, as usual, interpreted as the covariance of a state prediction error relative
to system (1). This is a main difference with respect to the continuous-time case, where
both the SPS solutions and the reversed opposite of the SNS solutions of the Riccati
differential equation can be seen as the covariance of a state filtering error relative to
a suitable (standard or reversed) system.
Now, in view of Theorem 5 and Proposition 2, the following results on the SNS
solutions of (3) are direct consequences of the parallel results on the SPS solutions
that were proved in the previous section.
THEOREM 6. Let (A(.), C(.)) be uniformly antidetectable. Then the RDE (3)
admits a minimal solution X-(. ), which is, in fact, negative semidefinite.
PROPOSITION 3. The antistabilizing solution of the RDE (3) (if any) coincides with
the minimal solution and is unique.
THEOREM 7. If (A(. ), C(. )) is uniformly antidetectable and (A(. ), Q(. )) is uni-
formly antistabilizable, then the RDE (3) admits a unique SNS solution, which is, in
fact, antistabilizing. Moreover, such a solution is a moving equilibrium for all the SNS
reversed finite-time solutions of the RDE.
THEOREM 8. Assume that (A(.), C(. )) is uniformly antidetectable and let X-(.
denote the minimal solution. Then, if X(. is a reversed finite-time solution of the RDE
with initial condition X (to) Xo <- X-(to), limt__ X (t) X-(t) 0.

Remark 3. We wonder whether the assumption on the reversibility of A(.) is
really necessary to establish the above results on the existence and attractiveness of
the minimal and antistabilizing solution. In fact, as shown below by means of a
counterexample, if the reversibility assumption is removed, the minimal solution may
not even exist.
Counterexample. Let Q(t) 0, C(t) 1, R(t) 1, for all t, and
1, <0,
A(t)
0, t_>-0.
Correspondingly, the general expression for the SNS infinite-time solutions of the
RDE is
Xo t_<0
X( t) 1 + tXo’
O, t>-l,
where X0 is an arbitrary negative scalar. Hence, it is apparent that, in spite of the
uniform observability of (A(.), C(.)), there does not exist a minimal solution.
Moreover, no infinite-time solution is antistabilizing.
5. Lattice of the solutions. In this section we will characterize the set of all real
symmetric infinite-time solutions of the time-varying RDE. If we restrict our attention
to the constant solutions of the time-invariant RDE, a consistent and comprehensive
theory, at least for the continuous time case, is already available; see, e.g., [6], [8],
13], 10], 14]. The most remarkable result is perhaps the one that states that if (A, C)
is observable, the set of all real symmetric solutions of the ARE is a complete lattice
with respect to the ordering of symmetric matrices. The primary aim of this section
will consist in extending such a result to the time-varying case. To this purpose, we
will resort to a device (Lemma 3), which allows us to reduce the analysis of all the
symmetric solutions of the RDE to the analysis of the SPS solutions of a suitably
redefined RDE. As by-products of our analysis, some results concerning the conver-
gence properties and the gap between the maximal and minimal solution will also be
obtained. Throughout this section, it will be assumed that A(. )- exists and is bounded.
LEMMA 3. Let X(. be a (finite-time or infinite-time) solution of the RDE (3) and
consider the new RDE
Z(t+ 1)= F(t)Z(t)F(t)’-F(t)Z(t)C(t)’[C(t)Z(t)C(t)’
(12) + (t)]_lc(t)Z(t)(t),,
where
R( t) C( t)X( )C( t)’ + R( t),
F(t) A(t)- K(t)C(t),
g t) A( t)( t)C( t)’[ C( t);( t)C( t)’ + R( t)] -.
Then, Z(. is a solution of (12) if and only if X(. )= Z(. )+ X(. is a solution of (3).
Moreover, the closed-loop matrix relative to Z(. coincides with the closed-loop matrix
relative to X(. ), shown below"
F( t) F( t)Z( t)C( t)’[ C( t)Z( t)C( t)’ + R( t)] -1C(t)
=A(t)-A(t)X(t)C(t)’[C(t)X(t)C(t)’+R(t)]-lc(t) Vt.
Finally, (F(.), C(. )) is uniformly detectable (uniformly observable) if and only if

(A(.), C(. )) is uniformly detectable (uniformly observable).
Proof. The first point straightforwardly follows from [32, Lemma 3.1], and the
second one is verified by inspection. As for detectability and observability, recall that
they are feedback invariant properties; see, e.g., [25] and [17].
We wonder whether, when passing from (3) to (12), the properties concerning
the boundedness of A(.) translate into analogous properties relative to F(.). The
answer can be found in the following result.
LEMMA 4. Assume that A(.) and A(.)-I are bounded. Consider the closed-loop
matrix F(. corresponding to any infinite-time solution X(. ). Then, F(. and F(. )-1
are bounded, too.
Proof. By means of the matrix inversion lemma, we can see that
F(t) A(t) K(t)C(t) A( t)[I + X(t)C(t)’g(t) -1 C( t)].
Then, the thesis easily follows from the boundedness of X(. ), C(. ), and R(. )-1.
By means of Lemma 3, in the case where a minimal solution X-(.) exists, we
can take X(. X-(. ), so that any infinite-time solution of the RDE (3) corresponds
to a positive semidefinite solution of (12). Then, when X-(.) is antistabilizing, the
RDE (12) is just a particular case of the RDE (3) with A(. exponentially antistable
and Q(t)= 0. A result concerning the maximal solution of such a particular RDE is
now established.
LEMMA 5. Assume that A(.) is exponentially antistable, Q(t)=0, for all t, and
(A(. ), C(. )) is uniformly detectable. Then the maximal solution X+( of the RDE (3)
is positive definite, and X +(. )-1 is bounded.
Proof. By Theorem 4, a finite-time solution X (.) of the RDE with initial condition
X (to) -> X / (to) converges to the maximal solution. In particular, assume that X (to) > 0.
We will prove that the maximal solution is positive definite by showing that X(t) -1
remains bounded for each t. Consider the RDE (3) with Q(t)=0, for all t. By means
of the matrix inversion lemma, we obtain
X(t + 1)= A(t)[X(t)-l + C(t)’g(t)-lC(t)]-lA(t) ’,
(13)
X + 1 )-1 A( t)’-lX (t)-lA(t) -1 + A(t) ’-1 C( t)’g( t) -1 C( t)A( t) -1.
Recall that the exponential antistability of A(-) entails the exponential stability of
A(. )--1o Since A(. )-1, C(. ), and R(. )-1 are bounded, X(. )-1 is bounded, also.
Interestingly enough, this last result enables us to clarify some relationships
between the maximal and the minimal solution. In particular, we focus on the so-called
gap between these solutions and on their stabilizing and convergence properties.
COROLLARY 1. Assume that (A(.), C(.)) is uniformly observable and that the
minimal solution is antistabilizing. Then the gap X+(t)-X-(t) between the maximal
and the minimal solution of the RDE is positive definite for each t.
Proof With reference to Lemma 3, let X(. )= X-(. ). By the assumptions, F(.
is exponentially antistable. Then, the gap X+( )-X-(. turns out to be the maximal
solution of the RDE (12), and the result follows from Lemma 5.
LEMMA 6. The maximal solution of the RDE (3) is stabilizing if and only if the
minimal solution is antistabilizing.
Proof Suppose that the minimal solution is antistabilizing. In view of Lemma 3,
there is no loss of generality in assuming that Q(t) 0, for all t, and A(. is exponentially
antistable. Then, by definition of infinite-time solution and by Lemma 5, the maximal
solution X+(.), as well as its inverse, is bounded. Under the given assumptions, the
RDE can be rewritten as

X+( t) A( t)-lx+( + 1)A(t) -1’
+A( t)-I g + (t)[ C( t)X+( t)C( t)’+ R(t) K +( t)’A(t) -1’.

By applying Lemma A5, we can see that the pair (A(.)-1, A(. )-IK+(. )) is uniformly
reachable. Then, Proposition 2(b) implies the uniform reachability of (A(.), K/( )).
By recalling that reachability is feedback invariant [25], this, in turn, leads to the
uniform reachability of (A(.) K/( )C(. ), K/( )). The RDE can be given the follow-
ing expression"
X+(t + 1)= F+(t)X+(t)F+(t)’+ K+(t)R(t)K+(t) ’,
where F/( A(. )- K/( )C(. is the closed-loop matrix relative to X/( ). Since
the pair (F/(.), K/(.)) is uniformly reachable, the exponential stability of F/(.)
follows from the Lyapunov lemma applied to this last equation. The only "if" part of
the proof is a straightforward consequence of the properties of the reversed Riccati
equation.
LEMMA 7. Assume that (A(.), C(.)) is uniformly observable and the minimal
solution is antistabilizing. Consider a finite-time (reversed finite-time) solution X(. of
the RDE (3) with initial condition X(to) > X-(to)[X(to) < X+(to)]. Then limt_, X(t)-
X/(t) 0 [lim,_,_ X(t) X-(t) 0].
Proof. Let X(. )= X-(. ). Then, by Lemma 3, if X(. is a finite-time solution of
(3), Z(.)--X(.)-X-(.) satisfies (12) and Z(to)>0. Therefore, we can assume,
without any loss of generality, that A(.) is exponentially antistable, Q(t)=0, for all
t, and X(to) > 0. Now, following the proof of Lemma 5, we can easily see that X/( )-1
is the unique SPS solution of the LDE (13). Note that A(. )-1 is exponentially stable.
Then, (13) implies that, independently of the initial condition, for t-, X(t) -1
converges to X+(t) -1.
As for the reversed finite-time solution, the proof is completely analogous.
COROLLARY 2. Assume that (A(. ), C(. )) is uniformly observable and the minimal
solution is antistabilizing. Let X(. be a finite-time (reversed finite-time)solution such
that X(s) > 0 IX(s) < 0], where s is an arbitrary time point. Then, lim/_. X(t) X+(t)
0 [lim,_._ X(t) X-(t) 0].
A definition is now given that plays a keyrole in the characterization of the
symmetric solutions.
DEFINIaION 13 (supporting subspace). Let X(. be a (finite-time or infinite-time)
solution of the RDE (3). Assume that there exists a minimal solution X-(.) and let
Z(.)=X(.)-X-(.). Then, the time-varying subspace [Z(.)] is said to be the
supporting subspace of X(. ).
Obviously, the supporting subspace of the minimal solution is the origin. As for
the maximal one, note that, under the assumptions of Corollary 1, its supporting
subspace coincides with R n.
In the following lemma a chain of results is developed to reach the main result
of the section, which is stated in Theorem 9.
LEMMA 8. Let X(.) be an SPS (finite-time or infinite-time) solution of the RDE
(3). Assume that X(.) is not identically equal to zero, 0(t)=0, for all t, A(.) is
exponentially antistable, and (A(.), C (.)) is uniformly observable. Then,
(a) If X(to) is not positive definite, there exists a unitary matrix function T(t)=
T(t) -1’, defined on [to, ) such that
(14) T(t)X(t)T(t)’= [ Xl(t)
0 0 A2(t)
t_->to,
where A l(t) and Xl( t) are square matrices of the same constant dimensions,
Xl(to) > 0, and * denotes a term we do not consider specifically;
(b) Partition matrix C(t)T(t)’ as C(t)T(t)’--[Cl(t)*], where Cl(t) has the same
number of columns as A l(t). Then XI t), >= to, satisfies the following reduced-
order RDE:
X(t + 1) Al(t)Xl(t)Al(t)’- Al(t)X,(t)Cl(t)’

(15)
[C(t)X(t)C(t)’+ R(t)]-lCl(t)Xi(t)Al(t)’;
(c) The dimensions of the supporting subspace of X(. are time-invariant;
(d) There exists a unitary T(t) such that the decomposition (14) (with Xl(t)>0)
and expression (15) hold for any t;
(e) If X (.) is a finite-time solution, for t- c, it converges to
(16) X(" T(" )’[ X-(" 00IT(’)’
_ _
where X-(. is the maximal solution of (15). Moreover, X(. has the same
supporting subspace as X(. );
(f) Let Xa(" and Xb(" be two (finite-time or infinite-time) SPS solutions of the
RDE and denote by (. and b(" the corresponding supporting subspaces.
a
Then, if s gTb S [, (s) b (S)] at an arbitrary time point s, :Ta Wb
_
[W(t) Wb(t)], for any t;
(g) Let X(.) and Xb(’) be two infinite-time SPS solutions of the RDE. Then,
t) b t) implies X (.) Xb (");
(h) Given a time point s and a subspace gT of R n, there exists one and only one
infinite-time SPS solution X(. such that [X(s)] ;
(i) Let X(. and Xb(" be two infinite-time SPS solutions of the RDE, and denote
by (.) and (.) the corresponding supporting subspaces. Then, if (s)
b(S) at an arbitrary time point s, Xa(t)>= Xb(t), for all t.
Proof of (a). First, note that T(t) defines a change of basis for system (1). It can
be seen that X(.) is a solution of the RDE (3) if and only if ’(t) T( t)X( t) T( t)’
satisfies the RDE
(t + 1) 3( t))"(t)( t)’
(17)
where A(t)= T(
, , -
(t) (t)(( t)’[ (t) (t)(( t)’+ R( t)] (( t)’( t)3( t)’,
+ l )A( t) T( t)’ and (t)=C(t)T(t)’.
Since X(to) is SPS, there exists a unitary T(to) such that
T(to)X(to)T(to),=[Xl(to) 0]
0 0
with X(to) positive definite. Now, denoting by r the rank of X(to), let the first r
columns of T(to+ 1) -1 be an orthonormal basis of [A(to)X(to))] and choose the
other columns so as to make T(to+ 1) unitary. Then, A(to) has the structure given in
(14). By substituting (to) and ’(to) into (17), X(to+ 1) also takes on the partitioned
structure (14). Obviously, the procedure can be iterated for any => to, proving the thesis.
Proof of (b). The proof follows by simple substitution of ,(t), (t), and )(t)
into (17).
Proof of (c). Letting

Fl(t) Al(t) Kl(t)Cl(t),
KI(t) AI(t) Xl (t)Cl( t)’[ C1( t)Xl( t)Cl( t)’q- R( t)] -1,
(15) entails that
(18) X(t h- 1) Fl(t)Xl(t)Fl(t)’q- Kl(t)R(t)Kl(t)’.
Note that, in view of the particular structure of A(t), the nonsingularity of A(t) implies
the nonsingularity of A l(t). Since Xl(t)> 0, for all t, Lemma A4 implies that F(t) is
nonsingular, so that the thesis is a direct consequence of (18).
Proof of (d). It is a consequence of the invariance of the dimensions of the
supporting subspace just proved in point (c).
Proof of (e). The uniform observability of the pair (A(.), C(.)) implies the
observability of (,(.), t(.)), which, in turn, implies the uniform observability of
(A(.), C(.)). Therefore, by Theorem 1, the RDE (15) admits a maximal solution
X]( ). Since X(to)> 0, Corollary 2 entails the convergence of X(. to the maximal
solution X(. ). Finally, recall that X(. is a solution of (3) if and only if T(. ))(. T(. )’
is a solution of (17). As for the supporting subspaces, Lemma 5 implies that X-(t) is
_
positive definite for each t, so that [Xoo(t) [X (t) ], for all t.
Proof of (f). Assume that gTa(s)=gb(s). As seen in the proof of point (a),
[X(s + 1)] depends only on IX(s)] and not on the particular value of X(s).
Therefore, Ta (t)= b(t)-t--> S. By making reference to the reversed RDE, we can see
that also [X(s 1)] depends only on IX(s)], and the first part of the proof is
completed.
As for (s) b (S), consider the following nonsingular transformation Ta (")
that performs the decomposition (14) on Xa(. ):
t>=s,
with Xl(t)> 0. It is easily seen that
_
with Xbl(t) of the same dimensions as X,l(t). Therefore,
Analogously, by means of the reversed RDE, it can be shown that o(s) Tb(S) implies
that ( t) b( t), < s.
_
(t) b (t), _--> S.
Proofof (g). In view of point (f), a(. fb(" )-For both solutions, decomposition
.
_
(14) can be performed by means of the same transformation T(.). Then, point (e)
_
implies that both X(. and Xb(" coincide with Xoo(" defined in (16).
Proof of (h). Consider any finite-time solution X(. such that [X(s)]
X(.)=Xoo(.) be the infinite-time solution to which, in view of point (e), X(.)
converges. Then, by point (g), X(.) is the only infinite-time solution such that
[X(s)]=.
Let
Proofof (i). First, note that, by point (f), f(s) gTb(S) implies that fa (t) b(t),
for all t. By the assumptions, for any r, it is possible to choose two initial conditions
X,(z) and Xt(z) such that [X(z)] a(z), [Xt(z)] b(’) and X(z)>-Xt(z).
Denote by X(., -) and X(., -) the finite-time solutions such that X (-, -)= X (z),
X (-, -) X (’). Lemma 2 implies that X, (t, z) >_- X (t, z), _-> -. Since Xa (t)
lim__ X,(t, -) and Xb(t)=lim__X(t, z), the thesis follows.
THEOREM 9. Let (A( ), C (.)) be uniformly observable and assume that the minimal
solution of the RDE (3) is antistabilizing. Then, the infinite-time solutions of the RDE
constitute an infinite number of isomorphic distributive lattices with common minimal and
maximal elements.
Proof Consider the set of all subspaces in R". In view of Lemma 8(h), to each
of these subspaces corresponds one and only one infinite-time solution. We now show
that this infinite number of solutions can be organized in an infinity of isomorphic
lattices. Take n independent one-dimensional subspaces Wi, i= 1,..., n, and call
5 {i} the set of these subspaces. The set 3- formed by all subspaces that can be
obtained by means of the operations of intersection and sum between the elements of
,
turns out to be a distributive lattice with respect to such operations. Note that,
independently of the choice of O the origin and R belong to 3- and constitute the
maximal and minimal element of 3-. By suitably varying 5, we can see that all the
subspaces in R" can be organized in an infinity of isomorphic lattices. Thanks to the
one-to-one correspondence between subspaces and solutions of the RDE, this reflects
in an analogous structure for the infinite-time solutions. The partial ordering by
inclusion of the subspaces is translated into the partial ordering _-> for symmetric
matrices (Lemma 8(i)), while the maximal and minimal elements of the lattices are
given by the maximal and minimal solution.
Remark 4. Obviously, the above theorem also holds for the time-invariant RDE.
Then, the problem of determining the number and the structure of the solutions of
the ARE is equivalent to the problem of determining which infinite-time solutions are
time-invariant, i.e., which supporting subspaces do not depend on time. Therefore, it
is not surprising that in the literature these solutions have been associated with
subspaces that, according to our terminology, would be denoted as "A-invariant
supporting subspaces." Analogously, in the study of the periodic solutions of the
periodically time-varying Riccati equation, the key task consists in the classification
of the supporting subspaces that are periodic with the same period as the coefficients
of the equation.
Appendix. Herein, we report the statements of some technical lemmas that are
needed throughout the paper. The proofs, which rely mostly on simple matrix manipula-
tions, can be found in [33].
LEMMA A1. Let X(. be an SNS solution of the RDE (3). Then, C(t)X(t)C(t)’+
R(t) > O, for all t.
LEMMA A2. Let R > 0 and H >- 0 be such that R CII C’] -1 > 0 and let P
II + HC’[R CHC’]-CH. Then, H P- PC’[R + CPC’]-CP.
LEMMA A3. Let H P PC’JR + CPC’] -1CP, with P >= 0 and R > O. Then, P
II + H C’[ R CH C’]-I CII.
LEMMA A4. Let F I PC’[ R + CPC’] -1 C, with R > 0 and P >- O. Then, det F 0.
LEMMA A5. Assume that Q(.) is bounded and A(.) is exponentially stable. Let
X(. be an infinite-time SPS solution of the LDE
X( + 1) A( t)X( t)A( t)’ + Q( t).
Then, if there exists a constant k > O, such that X(t) >= kI, for all t, thepair (A(. ), Q( ))
is uniformly reachable.
Acknowledgments. The author acknowledges two anonymous reviewers for their

helpful comments and suggestions.
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SIAM J.

ON THE TIME-VARYING RICCATI DIFFERENCE EQUATION OF

AMS(MOS) subject classifications. 49N10, 93C50, 93C55, 93Ell, 93E20

(la) x(t + 1)= A(t)x(t)+ v(t),

Uniform stabilizability and detectability criterion [17]. The pair (A( ), B( ))

It can be shown that uniform reachability (observability) implies both uniform

(2) X( + 1) A( t)X( t)A( t)’ + Q( t).

X(t+ 1)= A(t)X(t)A(t)’+ Q(t)

DEFINITION 4 (finite-time solution of the RDE and LDE). By finite-time solution

[to, +), which satisfies the RDE [LDE].

Ai( t) A( t) K,(t)C(t), >: O,

and Ko(" is chosen so as to ensure the exponential stability of Ao(" ). Then,

this solution is SPS and such that Ai/l(" is exponentially stable;

cally goes to zero for .

(t+ 1) Y(t+ 1)(t) ’-1,

with initial condition X (to) Xo <- X-(to), limt__ X (t) X-(t) 0.

Finally, (F(.), C(. )) is uniformly detectable (uniformly observable) if and only if

RDE can be rewritten as

+A( t)-I g + (t)[ C( t)X+( t)C( t)’+ R(t) K +( t)’A(t) -1’.

X(t + 1) Al(t)Xl(t)Al(t)’- Al(t)X,(t)Cl(t)’

(16) X(" T(" )’[ X-(" 00IT(’)’

Proof of (c). Letting

with Xl(t)> 0. It is easily seen that

Acknowledgments. The author acknowledges two anonymous reviewers for their

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