No label defined (Q4822987)

The authors consider the linear estimation problem described by the time-invariant system \[ \begin{aligned} x(k+ 1) &= Fx(k)+ w(k),\\ z(k+1) &= Hx(k+ 1)+ v(k+ 1),\end{aligned} \] where \(x(k)\) is the \(n\)-dimensional state vector at time \(k\), \(z(k)\) is the \(m\)-dimensional measurement vector, \(F\) and \(H\) are matrices, \(w\) and \(v\) are noises. It is assumed that all eigenvalues of \(F\) lie inside the unit circle. The authors propose a method for the steady-state Kalman filter implementation. It is established that the method is faster than the classical one.