Divergence of the stationary Kalman filter for correct and for incorrect noise variances

DOI10.1093/imamci/9.1.47zbMath0755.93077OpenAlexW2061903321MaRDI QIDQ4013386

Frank M. Callier, Jacques L. Willems

Publication date: 27 September 1992

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamci/9.1.47

zbMATH Keywords

Kalman filtermatrix Riccati differential equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Related Items (1)

Robust Kalman and Bayesian Set-Valued Filtering and Model Validation for Linear Stochastic Systems

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