SIAM Journal on Control and Optimization, Vol.33, No.3, 702-717, 1995
Almost Sure Stabilizability and Riccatis Equation of Linear-Systems with Random Parameters
Linear systems with stationary time-varying parameters are considered. The notions of almost sure stabilizability and almost sure detectability are explored. Under these properties the asymptotic behavior of the associated Riccati equation is described. In particular the stability of the Kalman filter and the convergence of linear observers are proved.
Keywords:ERGODIC-THEORY;KALMAN