A survey of recursive algorithms for the solution of the discrete time Riccati Equation

DOI10.1016/S0362-546X(97)00062-XMaRDI QIDQ4374196zbMATH OpenOpenAlexFDO

Authors Nicholas Assimakis, Sokratis K. Katsikas, F. L. Sanida, D. G. Lainiotis

Publication date 10 May 1998

Published in Nonlinear Analysis: Theory, Methods & Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0362-546x(97)00062-x

zbMATH Keywords

Kalman filterconvergenceestimationfilteringsteady statecomputational methodsdiscrete-timeRiccati equationdoubling algorithmLainiotis filtergeneral Chandrasekhar algorithm

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55)

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Cited in

(7)

• Fast Fourier transform algorithms for linear estimation, smoothing and Riccati equations
• Fast iterative solutions of Riccati and Lyapunov equations
• Nonrecursive solution for the discrete algebraic Riccati equation and \(X + \mathcal A^\ast X^{-1}\mathcal A=L\)
• Iterative and algebraic algorithms for the computation of the steady state Kalman filter gain
• scientific article; zbMATH DE number 3854949 (Why is no real title available?)
• A new computationally effective algorithm for solving the discrete Riccati equation
• Kalman filter Riccati equation for the prediction, estimation, and smoothing error covariance matrices

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