Existence conditions and properties for the maximal periodic solution of periodic Riccati difference equations |
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Authors: | CARLOS E DE SOUZA |
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Affiliation: | Department of Electrical and Computer Engineering , University of Newcastle , N.S.W, 2308, Australia |
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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. |
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