A Birkhoff contraction formula with applications to Riccati equations
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
Lawson, J., & Lim, Y. (2007). A Birkhoff contraction formula with applications to Riccati equations. SIAM Journal on Control and Optimization, 46 (3), 930-951. https://doi.org/10.1137/050637637