Maximal mean square strong solution for discrete time coupled algebraic Riccati equations

Author

Costa, O.L.V.

Author_Institution

Escola Politecnica, Sao Paulo Univ., Brazil

Volume

1

fYear

1994

Firstpage

670

Abstract

This paper deals with the question of the existence of a maximal mean square strong solution for a set of coupled algebraic Riccati equations which arises on the study of optimal filtering and quadratic optimal control of discrete-time linear systems with Markov switching parameters. The results derived utilize mean square stabilizability condition only. Computational tests for mean square stabilizability and mean square detectability are also presented, generalizing some previous results given by Ji-Chizeck (1990)

Keywords

Markov processes; Riccati equations; discrete time systems; filtering theory; linear quadratic control; linear systems; stability; stochastic systems; Markov switching parameters; Markovian jump linear systems; coupled algebraic Riccati equations; discrete-time linear systems; maximal mean square strong solution; mean square detectability; mean square stabilizability; optimal filtering; quadratic optimal control; Asymptotic stability; Electronic mail; Feedback; Filtering; Linear systems; Mirrors; Nonlinear filters; Optimal control; Riccati equations; Testing;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1994., Proceedings of the 33rd IEEE Conference on

Conference_Location

Lake Buena Vista, FL

Print_ISBN

0-7803-1968-0

Type

conf

DOI

10.1109/CDC.1994.410880

Filename

410880