New doubling algorithm for the discrete periodic Riccati equation

DOI10.1016/0096-3003(94)90109-0MaRDI QIDQ1316136zbMATH OpenOpenAlexWikidataFDO

Authors D. G. Lainiotis, Nicholas Assimakis, Sokratis K. Katsikas

Publication date 30 October 1994

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0096-3003(94)90109-0

zbMATH Keywords

Kalman filternumerical testsdoubling algorithmLainiotis filterrecursive discrete periodic Riccati equation

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55)

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Cites work

• scientific article; zbMATH DE number 65796 (Why is no real title available?)
• A note on the maximal solution of the periodic Riccati equation
• Comparative computational analysis of a new per-sample partitioning linear filter and the Kalman filter
• Computing periodic solutions of Riccati differential equations
• Discrete Riccati equation solutions: Partitioned algorithms
• Discrete Riccati-equation solutions: generalized partitioned algorithms
• Nonsymmetric Riccati equations: partitioned algorithms
• Optimal non-linear estimation†
• Partitioned Ricatti solutions and integration-free doubling algorithms
• Partitioned linear estimation algorithms: Discrete case
• Periodic solutions of matrix Riccati equations with detectability and stabilizability
• Periodic solutions of periodic Riccati equations
• Riccati differential equation in optimal filtering of periodic non-stabilizable systems
• The difference periodic Ricati equation for the periodic prediction problem

Cited in

(4)

• The maximal solution and comparison theorems for the periodic discrete-time Riccati equation
• Structure-Preserving Algorithms for Periodic Discrete-Time Algebraic Riccati Equations
• A survey of recursive algorithms for the solution of the discrete time Riccati Equation
• Convergence of the doubling algorithm for the discrete-time algebraic Riccati equation

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