Discrete-time coupled Riccati equations for systems with Markov switching parameters
type: Item
instance of: scholarly article
title: Discrete-time coupled Riccati equations for systems with Markov switching parameters
zbMATH Open document ID: 0835.93059
author: Oswaldo Luiz V. Costa
published in: Journal of Mathematical Analysis and Applications
publication date: 1996-04-28T00:00:00Z
review text: Filtering and control of discrete-time linear systems with Markov switches lead to systems of discrete-time coupled Riccati equations. Such a set of equations is studied in order to establish duality between the two problems. It is shown that a duality concept can be derived after introducing a generalized concept of detectability and stabilizability by taking into account the transition probabilities.
reviewed by: Michael Kohlmann
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 93C55
zbMATH DE Number: 811230
zbMATH Keywords: filtering
zbMATH Keywords: linear systems with Markov switches
zbMATH Keywords: coupled Riccati equations
zbMATH Keywords: duality
MaRDI profile type: Publication
full work available at URL: jmaa.1995.1294
OpenAlex ID: W2054374686
DOI: 10.1006/JMAA.1995.1294
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description: scientific article; zbMATH DE number 811230