On the existence of extremal solutions for the conjugate discrete-time Riccati equation

Abstract

In this paper we consider a class of conjugate discrete-time Riccati equations (CDARE), arising originally from the linear quadratic regulation problem for discrete-time antilinear systems. Recently, we have proved the existence of the maximal solution to the CDARE with a nonsingular control weighting matrix under the framework of the constructive method. Our contribution in the work is to finding another meaningful Hermitian solutions, which has received little attention in this topic. Moreover, we show that some extremal solutions cannot be attained at the same time, and almost (anti-)stabilizing solutions coincide with some extremal solutions. It is to be expected that our theoretical results presented in this paper will play an important role in the optimal control problems for discrete-time antilinear systems.