Solution and asymptotic behavior of coupled Riccati equations in jump linear systems
Hisham Abou‐Kandil, Gerhard Freiling, Gerhard Jank · IEEE Transactions on Automatic Control · 1994
A new necessary and sufficient condition for the existence of a positive semidefinite solution of coupled Riccati equations occurring in jump linear systems is derived. By verifying a Riccati inequality it is shown that such a solution exists; in addition two numerical algorithms are given to compute it. An example is given to illustrate the proposed method.>