Discrete-time coupled Riccati equations for systems with Markov switching parameters (Q1900417): Difference between revisions
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Latest revision as of 02:24, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Discrete-time coupled Riccati equations for systems with Markov switching parameters |
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Discrete-time coupled Riccati equations for systems with Markov switching parameters (English)
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28 April 1996
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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.
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filtering
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linear systems with Markov switches
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coupled Riccati equations
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duality
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