Elementwise decoupling and convergence of the Riccati equation in the SG algorithm

DOI10.1016/J.AUTOMATICA.2009.02.010zbMath1166.93377OpenAlexW2042529342MaRDI QIDQ923834

Magnus Evestedt, Alexander Medvedev

Publication date: 24 July 2009

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2009.02.010

zbMATH Keywords

discrete systemsRiccati equationsexponentially stablerecursive estimationwindup

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Stochastic stability in control theory (93E15)

Related Items (1)

Elementwise decoupling and convergence of the Riccati equation in the SG algorithm

Cites Work

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• Adaptation and tracking in system identification - a survey
• Elementwise decoupling and convergence of the Riccati equation in the SG algorithm
• Analysis of the Kalman filter based estimation algorithm: An orthogonal decomposition approach.
• Stochastic processes and filtering theory
• Stationary behavior of an anti-windup scheme for recursive parameter estimation under lack of excitation
• Stability of a Riccati Equation Arising in Recursive Parameter Estimation Under Lack of Excitation

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