A new algorithm for the steady state Kalman filter

zbMATH Open1103.94006MaRDI QIDQ5493044FDOQ5493044

Authors: Nicholas Assimakis 

Publication date: 20 October 2006

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zbMATH Keywords

Kalman filterRiccati equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (8)

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• Title not available (Why is that?)
• Periodic Kalman filter: steady state from the beginning
• Iterative and algebraic algorithms for the computation of the steady state Kalman filter gain
• Title not available (Why is that?)
• New Extended Kalman Filter Algorithms for Stochastic Differential Algebraic Equations
• Steady state Kalman filter for periodic models: a new approach
• Steady‐state Kalman filtering with nonstationary noise

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