Almost Sure Stabilizability and Riccati’s Equation of Linear Systems with Random Parameters

DOI10.1137/S0363012992229069zbMath0827.93066MaRDI QIDQ4841810

Philippe Bougerol

Publication date: 11 December 1995

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

stabilizabilityRiccati equationsKalman filterlinear discrete-time systemsdetectabilitytime- varying

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stabilization of systems by feedback (93D15) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Stochastic stability in control theory (93E15) Ergodic theory (37A99)

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Kalman filtering with finite-step autocorrelated measurement noise ⋮ A maximin characterisation of the escape rate of non-expansive mappings in metrically convex spaces ⋮ Distributed Kalman filtering over sensor networks with fading measurements and random link failures ⋮ Asymptotic Forecast Uncertainty and the Unstable Subspace in the Presence of Additive Model Error ⋮ On the stability of the Kalman–Bucy filter with stationary time varying parameters ⋮ Uniqueness of the fixed point of nonexpansive semidifferentiable maps ⋮ Kalman filtering with faded measurements ⋮ Spectral theorem for convex monotone homogeneous maps, and ergodic control

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