The contraction rate in Thompson metric of order-preserving flows on a cone - application to generalized Riccati equations

TL;DR

This paper derives a formula for the Lipschitz constant of order-preserving flows on cones, applies it to generalized Riccati equations, and analyzes their contraction properties in different metrics.

Contribution

It provides an explicit formula for the Lipschitz constant of order-preserving flows on cones and applies it to analyze contraction properties of generalized Riccati equations.

Findings

The flow of the generalized Riccati equation is a local contraction on the cone of positive definite matrices.

The Lipschitz constant can be characterized by a matrix inequality.

The flow is not a contraction in certain Finsler metrics, including the Riemannian metric.

Abstract

We give a formula for the Lipschitz constant in Thompson's part metric of any order-preserving flow on the interior of a (possibly infinite dimensional) closed convex pointed cone. This provides an explicit form of a characterization of Nussbaum concerning non order-preserving flows. As an application of this formula, we show that the flow of the generalized Riccati equation arising in stochastic linear quadratic control is a local contraction on the cone of positive definite matrices and characterize its Lipschitz constant by a matrix inequality. We also show that the same flow is no longer a contraction in other natural Finsler metrics on this cone, including the standard invariant Riemannian metric. This is motivated by a series of contraction properties concerning the standard Riccati equation, established by Bougerol, Liverani, Wojtowski, Lawson, Lee and Lim: we show that some of these properties do, and that some other do not, carry over to the generalized Riccati equation.