On the Phase Portrait of the Fast Filtering Algorithms

DOI10.1051/cocv:1999125zbMath0937.93050OpenAlexW2028148755MaRDI QIDQ4937718

Yishao Zhou

Publication date: 17 February 2000

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/90558

zbMATH Keywords

Riccati equationsKalman filteringnonlinear dynamical systemspositivity conditionsfast filtering algorithms

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Geometric methods (93B27)

Cites Work

• The geometry of matrix eigenvalue methods
• Lie and Morse theory for periodic orbits of vector fields and matrix Riccati equations, II
• Phase Portrait of the Matrix Riccati Equation
• A Hamiltonian approach to the factorization of the matrix Riccati equation
• Predictability and unpredictability in Kalman filtering
• A New Algorithm for Optimal Filtering of Discrete-Time Stationary Processes
• Canonical forms for symplectic and Hamiltonian matrices
• Some reduced-order non-Riccati equations for linear least-squares estimation : the stationary, single-output case†
• A Convex Optimization Approach to the Rational Covariance Extension Problem
• On the Nonlinear Ddynamics of Fast Filtering Algorithms
• On the partial stochastic realization problem
• Lie and morse theory for periodic orbits of vector fields and matrix riccati equations, I: General lie-theoretic methods
• A complete parameterization of all positive rational extensions of a covariance sequence
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