Maximal mean square strong solution for discrete time coupled algebraic Riccati equations

Abstract

This paper deals with the question of the existence of a maximal mean square strong solution for a set of coupled algebraic Riccati equations which arises on the study of optimal filtering and quadratic optimal control of discrete-time linear systems with Markov switching parameters. The results derived utilize mean square stabilizability condition only. Computational tests for mean square stabilizability and mean square detectability are also presented, generalizing some previous results given by Ji-Chizeck (1990). >