New doubling algorithm for the discrete periodic Riccati equation

DOI10.1016/0096-3003(94)90109-0zbMATH Open0798.65071OpenAlexW2025185012WikidataQ126437416 ScholiaQ126437416MaRDI QIDQ1316136FDOQ1316136

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

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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)

Cites Work

• Title not available (Why is that?)
• Partitioned Ricatti solutions and integration-free doubling algorithms
• Periodic solutions of periodic Riccati equations
• The difference periodic Ricati equation for the periodic prediction problem
• A note on the maximal solution of the periodic Riccati equation
• Periodic solutions of matrix Riccati equations with detectability and stabilizability
• Partitioned linear estimation algorithms: Discrete case
• Optimal non-linear estimation†
• Computing periodic solutions of Riccati differential equations
• Discrete Riccati-equation solutions: generalized partitioned algorithms
• Discrete Riccati equation solutions: Partitioned algorithms
• Riccati differential equation in optimal filtering of periodic non-stabilizable systems
• Nonsymmetric Riccati equations: partitioned algorithms
• Comparative computational analysis of a new per-sample partitioning linear filter and the Kalman filter

Cited In (4)

• The maximal solution and comparison theorems for the periodic discrete-time Riccati equation
• 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
• Structure-Preserving Algorithms for Periodic Discrete-Time Algebraic Riccati Equations

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