A closed-form solution to the discrete-time Kalman filter and its applications

DOI10.1016/J.SYSCONLE.2010.09.007MaRDI QIDQ616979zbMATH OpenOpenAlexFDO

Authors Soohee Han

Publication date 12 January 2011

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2010.09.007

zbMATH Keywords

Kalman filterclosed-form solutionminimum variance finite memory filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

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Cites work

• scientific article; zbMATH DE number 4089457 (Why is no real title available?)
• A receding horizon Kalman FIR filter for discrete time-invariant systems
• A receding horizon unbiased FIR for discrete-time state space models
• Alternative solution of discrete-time Kalman filter
• Closed-form solutions to discrete-time LQ optimal control and disturbance attenuation
• Explicit solution to the singular discrete-time stationary linear filtering problem
• Explicit solutions to the singular discrete finite-time linear estimation problem
• MACSYMA-generated closed-form solutions to some matrix Riccati equations
• On closed form solutions for the differential matrix Riccati equation problem
• Robust pole assignment in linear state feedback
• Solution in the z-domain to the discrete-time stationary Kalman filtering problem for systems with perfect measurements

Cited in

(9)

• A maximum-likelihood Kalman filter for switching discrete-time linear systems
• Solution in the z-domain to the discrete-time stationary Kalman filtering problem for systems with perfect measurements
• scientific article; zbMATH DE number 5239526 (Why is no real title available?)
• Iterative and algebraic algorithms for the computation of the steady state Kalman filter gain
• Alternative solution of discrete-time Kalman filter
• An alternate calculation of the discrete-time Kalman filter gain and Riccati equation solution
• A receding horizon Kalman FIR filter for discrete time-invariant systems
• Return-difference and spectral factorisation relationship for the discrete-time Kalman filter
• Closed-form solutions of ECV and ECA tracking filters based on a transfer-function approach

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