Monotonicity and stabilizability properties of solutions of the Riccati difference equation: Propositions, lemmas, theorems, fallacious conjectures and counterexamples

DOI10.1016/0167-6911(85)90027-1zbMath0567.93059OpenAlexW2076712618WikidataQ123109467 ScholiaQ123109467MaRDI QIDQ1060177

Michel Gevers, Bitmead, Robert R., Ian R. Petersen

Publication date: 1985

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(85)90027-1

zbMATH Keywords

optimal filteringRiccati difference equation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stabilization of systems by feedback (93D15) Asymptotic stability in control theory (93D20) Matrix equations and identities (15A24)

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Cites Work

• On the matrix Riccati equation
• Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems
• Riccati equations in optimal filtering of nonstabilizable systems having singular state transition matrices
• On the discrete time algebraic Riccati equation
• On the discrete time matrix Riccati equation of optimal control†
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