Interpretable gradient descent for the Kalman gain

DOI10.1016/J.SYSCONLE.2026.106487MaRDI QIDQ7311921zbMATH OpenFDO

Authors Alex Olshevsky, Mohamed-Ali Belabbas

Publication date 11 August 2026

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SYSCONLE.2026.106487

Mathematics Subject Classification ID

Observability (93B07) Linear systems in control theory (93C05) Filtering in stochastic control theory (93E11)

Cites work

• A Generalized Eigenvalue Approach for Solving Riccati Equations
• A Schur method for solving algebraic Riccati equations
• Analysis of the optimization landscape of Linear Quadratic Gaussian (LQG) control
• Matrix differential calculus with applications in statistics and econometrics
• Nonlinear systems.
• Optimizing static linear feedback: gradient method
• Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon

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