Suppose I am trying to solve the discrete algebraic Riccati equation:
$P=Q_1+A^TPA-(B^TPA)^T(Q_2+B^TPB)^{-1}(B^TPA)$
with $Q_1=Q_1^T>0$ and $Q_2=Q_2^T>0$. How can I formally prove that $P>0$?
Thank you very much
Suppose I am trying to solve the discrete algebraic Riccati equation:
$P=Q_1+A^TPA-(B^TPA)^T(Q_2+B^TPB)^{-1}(B^TPA)$
with $Q_1=Q_1^T>0$ and $Q_2=Q_2^T>0$. How can I formally prove that $P>0$?
Thank you very much
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