Filtering S-coupled algebraic Riccati equations for discrete-time Markov jump systems

Author(s)

do Valle Costa, Oswaldo Luiz ; Figueiredo, Danilo Zucolli

• Document type: Journal article
• Source: AUTOMATICA; v. 83, p. 47-57, SEP 2017.
• Web of Science Citations: 2

Abstract

This paper deals with a set of S-coupled algebraic Riccati equations that arises in the study of filtering of discrete-time linear jump systems with the Markov chain in a general Borel space s. By S-coupled it is meant that the algebraic Riccati equations are coupled via an integral over S. Conditions for the existence and uniqueness of a positive semi-definite solution to the filtering S-coupled algebraic Riccati equations are obtained in terms of the concepts of stochastic detectability and stochastic stabilizability. This result is then applied to solve the infinite horizon minimum mean square linear Markov jump filtering problem. The obtained results generalize previous ones in the literature, which considered only the case of the Markov chain taking values in a finite state space. (C) 2017 Elsevier Ltd. All rights reserved. (AU)

• FAPESP's process: 14/50279-4 - Brasil Research Centre for Gas Innovation
• Grantee: Julio Romano Meneghini
• Support type: Research Grants - Research Centers in Engineering Program
• FAPESP's process: 14/50851-0 - INCT 2014: National Institute of Science and Technology for Cooperative Autonomous Systems Applied in Security and Environment
• Grantee: Marco Henrique Terra
• Support type: Research Projects - Thematic Grants