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

DOI10.1155/2014/417623zbMATH Open1298.93325OpenAlexW2008903598WikidataQ59048147 ScholiaQ59048147MaRDI QIDQ469922FDOQ469922

Authors: Nicholas Assimakis, Maria Adam 

Publication date: 11 November 2014

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

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

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Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Cites Work

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• Hierarchical identification of lifted state-space models for general dual-rate systems
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• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• An alternate calculation of the discrete-time Kalman filter gain and Riccati equation solution
• A new computationally effective algorithm for solving the discrete Riccati equation
• Kalman filter Riccati equation for the prediction, estimation, and smoothing error covariance matrices
• Effectiveness of variable-gain Kalman filter based on angle error calculated from acceleration signals in lower limb angle measurement with inertial sensors
• A survey of recursive algorithms for the solution of the discrete time Riccati Equation
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• A closed-form solution to the discrete-time Kalman filter and its applications

Cited In (6)

• Four extremal solutions of discrete-time algebraic Riccati equations: existence theorems and computation
• Title not available (Why is that?)
• An alternate calculation of the discrete-time Kalman filter gain and Riccati equation solution
• 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
• Inversion free algorithms for computing the principal square root of a matrix

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