Title :
Mean-square stabilizing solutions for discrete-time coupled algebraic Riccati equations
Author_Institution :
Escola Politecnica, Sao Paulo Univ., Brazil
fDate :
4/1/1996 12:00:00 AM
Abstract :
In this paper we present new sufficient conditions for the existence of a mean-square stabilizing solution for a set of coupled algebraic Riccati equations which arises from the study of quadratic optimal control of discrete-time linear systems with Markov switching parameters. The conditions are derived under the assumptions of mean-square stabilizability and on the unobservable modes of the system and compared with existing results
Keywords :
Markov processes; Riccati equations; discrete time systems; linear systems; matrix algebra; optimal control; robust control; Markov switching parameters; coupled algebraic Riccati equations; discrete-time linear systems; mean-square stabilizability; mean-square stabilization; quadratic optimal control; unobservable modes; Automatic control; Frequency; Linear approximation; Linear systems; Mathematics; Observability; Open loop systems; Optimal control; Reduced order systems; Riccati equations;
Journal_Title :
Automatic Control, IEEE Transactions on
