Convergence of the DRE solution to the ARE strong solution

DOI10.1109/9.566672MaRDI QIDQ4339734zbMATH OpenOpenAlexFDO

Authors Poogyeon Park, T. Kailath

Publication date 3 August 1997

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

Full work available at URL https://doi.org/10.1109/9.566672

zbMATH Keywords

algebraic Riccati equationdifferential Riccati equationindefinite noise covariancesKalman filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Recommendations

• Convergence of the solutions on the generalized Korteweg-de Vries equation
• Strong convergence theorems for solutions of equations of Hammerstein type
• Convergence result for the weak solutions of nonlinear elliptic systems
• Strong convergence theorems for solutions of fixed point and variational inequality problems
• A strong convergence theorem for solutions of zero point problems and fixed point problems
• Strong Convergence of Numerical Solutions to Degenerate Variational Problems
• Strong convergence of approximate solutions for nonlinear hyperbolic equation without convexity
• scientific article; zbMATH DE number 2152863
• Strong convergence theorem for approximation of solutions of equations of Hammerstein type
• scientific article; zbMATH DE number 3416303

Cited in

(13)

• Convergence and existence results for continuous- and discrete-time Riccati equations
• On stabilizability and exact observability of stochastic systems with their applications.
• On the robustness of Riccati flows to complete model misspecification
• The asymptotic analysis of the structure-preserving doubling algorithms
• Convergence of the Kalman filter gain for a class of nondetectable signal extraction problems
• On the convergence of the modified Riccati equation
• Riccati equations in optimal filtering of nonstabilizable systems having singular state transition matrices
• Difference and differential Riccati equations: a note on the convergence to the strong solution
• Single and multiple error state-space models for signal extraction
• Convergence of Discount Time Series Dynamic Linear Models
• An explicit Floquet-type representation of Riccati aperiodic exponential semigroups
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• Observability and nonlinear filtering

This page was built for publication: Convergence of the DRE solution to the ARE strong solution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4339734)