Discrete algebraic Riccati equations-perturbations and stability of solutions

The authors address several problems concerning the behavior of solutions of the discrete algebraic Riccati equations under perturbations of the coefficients. In particular, they identify the robust solutions (i.e., those that change only slightly if the coefficients are perturbed) and solutions that retain the smoothness properties of the coefficients (regarded as functions of a parameter). Also discussed is the problem of the probabilistic design of discrete Kalman filters.<>