IEEE Transactions on Automatic Control, Vol.41, No.4, 593-598, 1996
Mean-Square Stabilizing Solutions for Discrete-Time Coupled Algebraic Riccati-Equations
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 IL 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:JUMP LINEAR-SYSTEMS