Explicit solution to the unstable stationary filtering problem

DOI10.1109/TAC.1986.1104216zbMATH Open0579.93061OpenAlexW2118716292MaRDI QIDQ3703769FDOQ3703769

Eugene Soroka, U. Shaked

Publication date: 1986

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1986.1104216

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zbMATH Keywords

constant Kalman gainlinear unstable processesstationary filtered estimation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Linear systems in control theory (93C05) Model systems in control theory (93C99) Estimation and detection in stochastic control theory (93E10) Matrix equations and identities (15A24)

Cited In (2)

• Explicit solution to the singular discrete-time stationary linear filtering problem
• A simple derivation of the interactor matrix and its applications

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