Costa, Oswaldo L. V. Discrete-time coupled Riccati equations for systems with Markov switching parameters. (English) Zbl 0835.93059 J. Math. Anal. Appl. 194, No. 1, 197-216 (1995). 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) Cited in 6 Documents MSC: 93E20 Optimal stochastic control 93C55 Discrete-time control/observation systems Keywords:filtering; linear systems with Markov switches; coupled Riccati equations; duality PDFBibTeX XMLCite \textit{O. L. V. Costa}, J. Math. Anal. Appl. 194, No. 1, 197--216 (1995; Zbl 0835.93059) Full Text: DOI