Constant, predictable and degenerate directions of the discrete-time Riccati equation
(1973) Automatica — Vol. 9, n° 6, p. 699-711 (1973)
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- Abstract
- The solution of the Riccati equation for certain discrete-time linear stochastic systems can attain a constant value in certain directions after a limited number of iterations, thus enabling a reduction in the effective order of the Riccati equation. These results do not have exact continuous-time analogs. In this paper the authors explain the reasons for this, chiefly by introducing the concept of predictable directions along which the solution goes to zero rather than a nonzero constant.
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Gevers, M., & Kailath, T. (1973). Constant, predictable and degenerate directions of the discrete-time Riccati equation. Automatica, 9(6), 699-711. https://hdl.handle.net/2078.5/149323 (Original work published 1973)