A utilization of properties of the discrete-time Riccati equation in stochastic realization theory

DOI10.1007/BF00940756zbMath0574.93015OpenAlexW2043705677MaRDI QIDQ1063555

F. A. Badawi

Publication date: 1986

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00940756

zbMATH Keywords

constant directionsdiscrete-time stationary stochastic processnon-Riccati algorithmstochastic realizations

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Discrete-time control/observation systems (93C55) Matrix equations and identities (15A24) Stochastic systems in control theory (general) (93E03) Realizations from input-output data (93B15)

Cites Work

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• Constant, predictable and degenerate directions of the discrete-time Riccati equation
• Linear-quadratic discrete-time control and constant directions
• Constant directions of the Riccati equation
• On the Stochastic Realization Problem
• Stochastic Realization and Invariant Directions of the Matrix Riccati Equation
• A Hamiltonian approach to the factorization of the matrix Riccati equation
• Stochastic theory of minimal realization
• A New Algorithm for Optimal Filtering of Discrete-Time Stationary Processes
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems

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