A recursive construction algorithm for covariance control

DOI10.1109/9.661079MaRDI QIDQ4396099zbMATH OpenOpenAlexFDO

Authors Robert E. Skelton, Martin Corless, Tetsuya Iwasaki

Publication date 11 June 1998

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.661079

zbMATH Keywords

algorithmcomputational complexitycovariance controllersrecursive computationsymmetric solution of matrix equations

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

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(8)

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• Covariance analysis algorithm for interconnected systems
• Three algorithms to compute covariance matrices: Comparison of their computational complexity
• Control systems approach to the sample inverse covariance matrix

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