Solvability of Matrix Riccati Inequalities

Abstract

We consider matrix Riccati inequality arising in the theory of absolute stability, $H_\infty$ control problem, $LQ$ problem, and optimal estimation problem. In the case of sign definite frequency domain function, the solvability of Riccati inequalities is a subject of the famous Kalman- Yakubovich lemma. This paper presents necessary and sufficient conditions for solvability of Riccati inequality in the general sign indefinite case. To this end we use special representations of Hamiltonian matrices. The results are illustrated by an example.