scientific article; zbMATH DE number 2065724

MaRDI QIDQ4460410zbMATH OpenFDO

Authors Nicholas Assimakis, S. Roulis, D. G. Lainiotis

Publication date 18 May 2004

zbMATH Keywords

filteringlinear time-invariant systemsGaussian random disturbancesdifference matrix Riccati equation

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55)

Cited in

(6)

• Anticausal stabilizing solution to discrete reverse-time Riccati equation
• Fast iterative solutions of Riccati and Lyapunov equations
• Recursive solution of initial value problems with temporal discretization
• Iterative and algebraic algorithms for the computation of the steady state Kalman filter gain
• New upper and lower bounds, the iteration algorithm for the solution of the discrete algebraic Riccati equation
• Kalman filter Riccati equation for the prediction, estimation, and smoothing error covariance matrices

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