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)

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Cites work

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• Combined state and least squares parameter estimation algorithms for dynamic systems
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• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
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• Kalman filter Riccati equation for the prediction, estimation, and smoothing error covariance matrices

Cited in

(6)

• 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
• An alternate calculation of the discrete-time Kalman filter gain and Riccati equation solution
• scientific article; zbMATH DE number 1300081 (Why is no real title available?)
• Four extremal solutions of discrete-time algebraic Riccati equations: existence theorems and computation

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