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Discrete-time coupled Riccati equations for systems with Markov switching parameters. (English) Zbl 0835.93059

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.
Reviewer: M.Kohlmann (Bonn)

MSC:

93E20 Optimal stochastic control
93C55 Discrete-time control/observation systems
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