On stability of random Riccati equations

DOI10.1007/BF02917108zbMath0940.60061OpenAlexW1988868967MaRDI QIDQ1303100

Yuan Wang, Lei Guo

Publication date: 27 July 2000

Published in: Science in China. Series E (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02917108

zbMATH Keywords

Kalman filterstochastic stabilityexcitationrandom Riccati equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic stability in control theory (93E15)

Related Items (5)

Stochastic output feedback MPC with intermittent observations ⋮ Novel interacting multiple model filter for uncertain target tracking systems based on weighted Kullback-Leibler divergence ⋮ Peak covariance stability of a random Riccati equation arising from Kalman filtering with observation losses ⋮ An iterative algorithm to solve state-perturbed stochastic algebraic Riccati equations in LQ zero-sum games ⋮ Kalman filtering with faded measurements

Cites Work

• Unnamed Item
• Identification and stochastic adaptive control
• Kalman Filtering with Random Coefficients and Contractions
• Estimating time-varying parameters by the Kalman filter based algorithm: stability and convergence
• Stability of Recursive Stochastic Tracking Algorithms

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