Iterative and algebraic algorithms for the computation of the steady state Kalman filter gain

DOI10.1155/2014/417623MaRDI QIDQ469922zbMATH OpenOpenAlexWikidataFDO

Authors Nicholas Assimakis, Maria Adam

Publication date 11 November 2014

Published in ISRN Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/417623

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Recommendations

• scientific article; zbMATH DE number 1300081
• Descriptor Kalman estimators
• An alternate calculation of the discrete-time Kalman filter gain and Riccati equation solution
• A new algorithm for the steady state Kalman filter
• scientific article; zbMATH DE number 2110462

Cites work

• scientific article; zbMATH DE number 5719293 (Why is no real title available?)
• scientific article; zbMATH DE number 2061746 (Why is no real title available?)
• scientific article; zbMATH DE number 2065724 (Why is no real title available?)
• scientific article; zbMATH DE number 2169892 (Why is no real title available?)
• A closed-form solution to the discrete-time Kalman filter and its applications
• A new computationally effective algorithm for solving the discrete Riccati equation
• A survey of recursive algorithms for the solution of the discrete time Riccati Equation
• An alternate calculation of the discrete-time Kalman filter gain and Riccati equation solution
• Combined state and least squares parameter estimation algorithms for dynamic systems
• Effectiveness of variable-gain Kalman filter based on angle error calculated from acceleration signals in lower limb angle measurement with inertial sensors
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• Hierarchical identification of lifted state-space models for general dual-rate systems
• Kalman filter Riccati equation for the prediction, estimation, and smoothing error covariance matrices

Cited in

(6)

• An alternate calculation of the discrete-time Kalman filter gain and Riccati equation solution
• Four extremal solutions of discrete-time algebraic Riccati equations: existence theorems and computation
• New upper and lower bounds, the iteration algorithm for the solution of the discrete algebraic Riccati equation
• scientific article; zbMATH DE number 1300081 (Why is no real title available?)
• Kalman filter Riccati equation for the prediction, estimation, and smoothing error covariance matrices
• Inversion free algorithms for computing the principal square root of a matrix

This page was built for publication: Iterative and algebraic algorithms for the computation of the steady state Kalman filter gain

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q469922)