Title

A Birkhoff contraction formula with applications to Riccati equations

Document Type

Article

Publication Date

12-1-2007

Abstract

In this paper we show that the symplectic Hamiltonian operators on a Hilbert space give rise to linear fractional transformations on the open convex cone of positive definite operators that contract a natural invariant Finsler metric, the Thompson or part metric, on the convex cone. More precisely, the constants of contraction for the Hamiltonian operators satisfy the classical Birkhoff formula: the Lipschitz constant for the corresponding linear fractional transformations on the cone of positive definite operators is equal to the hyperbolic tangent of one fourth the diameter of the image. By means of the close connections between Hamilitonian operators and Riccati equations, this result and the associated machinery are applied to obtain convergence results for discrete algebraic Riccati equations and Riccati differential equations. © 2007 Society for Industrial and Applied Mathematics.

Publication Source (Journal or Book title)

SIAM Journal on Control and Optimization

First Page

930

Last Page

951

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