Existence conditions and properties for the maximal periodic solution of periodic Riccati difference equations

Abstract

The existence and properties of the maximal symmetric periodic solution of the periodic Riccati difference equation, is analysed for the optimal filtering problem of linear periodic discrete-time systems. Special emphasis is given to systems not necessarily reversible and subject only to a detectability assumption. Necessary and sufficient conditions for the existence and uniqueness of periodic non-negative definite solutions of the periodic Riccati difference equation which gives rise to a stable filter are also established. Furthermore, the convergence of non-negative definite solutions of the Riccati equation is investigated.