Convergence of the DRE solution to the ARE strong solution

DOI10.1109/9.566672zbMATH Open0876.93087OpenAlexW2168022335MaRDI QIDQ4339734FDOQ4339734

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

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zbMATH Keywords

Kalman filteringalgebraic Riccati equationdifferential Riccati equationindefinite noise covariances

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Cited In (13)

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

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