Critical value computation for H∞-Riccati difference equations

In designing finite horizon discrete time H∞ controllers, the associated H∞-Riccati difference equations must be solved. But the Riccati equation has a non-negative solution only when γ−2 is small enough. So it is important to get the upper bound of the parameter, i.e., the critical value that ensures the existence of the solution to the Riccati equation. The solution sequence of the Riccati difference equation can be constructed by the conjoined basis of an associated linear Hamiltonian difference system. Based on this expression and the Hamiltonian difference system eigenvalue theorems, the equivalence between the critical value and the first order eigenvalue of the linear Hamiltonian difference system is presented. Since the critical value is also shown to be the fundamental eigenvalue of a generalized Rayleigh quotient, an extended form of Wittrick–Williams algorithm is presented to search this value.