On the Time-Varying Riccati Difference Equation of Optimal Filtering

Filtering in stochastic control theory (93E11) Linear-quadratic optimal control problems (49N10) Control/observation systems governed by ordinary differential equations (93C15) Discrete-time control/observation systems (93C55) Model systems in control theory (93C99) Optimal stochastic control (93E20)

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Cited in

(24)

On the lack of monotonicity of Newton-Hewer updates for Riccati equations
Time-varying discrete Riccati equation: Some monotonicity results
Existence conditions and properties for the maximal periodic solution of periodic Riccati difference equations
Convergence and existence results for continuous- and discrete-time Riccati equations
Trial-and-error or avoiding a guess? Initialization of the Kalman filter
Transient and asymptotic analysis of discrete-time \(H_\infty\)-filters
Anisotropy-based multicriteria time-varying filtering on finite horizon
A note on the maximal solution of the periodic Riccati equation
Switched periodic systems in discrete time: stability and input–output norms
ℋ_∞output feedback control for linear discrete time-varying systems via the bounded real lemma
Kalman filtering with finite-step autocorrelated measurement noise
Event-based state estimation of linear dynamic systems with unknown exogenous inputs
Reverse discrete-time Riccati equation and extended Nehari's problem
Unbiased minimum-variance estimation and dynamic event-driven disturbance rejection control for discrete time-varying systems
On finite-horizon \(\ell_2\)-induced norms of discrete-time switched linear systems
Noise induced escape from stable invariant tori
Bayesian state estimation on finite horizons: the case of linear state-space model
Embedding of time-varying contractive systems in lossless realizations
On stabilizing properties of solutions of the Riccati difference equation
Minimal quasi-separable realizations for the inverse of a quasi-separable operator
Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems
On asymptotical behavior of solution of Riccati equation arising in linear filtering with shifted noises
Root mean square gain of discrete-time switched linear systems under Dwell time constraints
Optimal periodic scheduling of sensor networks: a branch and bound approach

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