scientific article; zbMATH DE number 2065724
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Publication:4460410
zbMath1049.65055MaRDI QIDQ4460410
Nicholas Assimakis, S. Roulis, Demetrios G. Lainiotis
Publication date: 18 May 2004
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
filteringlinear time-invariant systemsGaussian random disturbancesdifference matrix Riccati equation
Filtering in stochastic control theory (93E11) Numerical optimization and variational techniques (65K10) Discrete-time control/observation systems (93C55)
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New upper and lower bounds, the iteration algorithm for the solution of the discrete algebraic Riccati equation ⋮ Fast iterative solutions of Riccati and Lyapunov equations ⋮ Iterative and algebraic algorithms for the computation of the steady state Kalman filter gain ⋮ Kalman filter Riccati equation for the prediction, estimation, and smoothing error covariance matrices
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