• DocumentCode
    1402876
  • Title

    Convergence of the DRE solution to the ARE strong solution

  • Author

    Park, PooGyeon ; Kailath, Thomas

  • Author_Institution
    Dept. of Electron. & Electr. Eng., Pohang Univ. of Sci. & Technol., South Korea
  • Volume
    42
  • Issue
    4
  • fYear
    1997
  • fDate
    4/1/1997 12:00:00 AM
  • Firstpage
    573
  • Lastpage
    578
  • Abstract
    In this paper, we use the boundary solutions to a linear matrix inequality (LMI) associated with Kalman filtering to investigate the convergence of the solution of a differential Riccati equation (DRE) to the so-called strong solution of an algebraic Riccati equation (ARE). We furthermore extend our results to Kalman filtering with indefinite input noise covariances
  • Keywords
    Kalman filters; Riccati equations; boundary-value problems; convergence; filtering theory; nonlinear differential equations; ARE strong solution; DRE solution; Kalman filtering; LMI; algebraic Riccati equation; boundary solutions; convergence; differential Riccati equation; indefinite input noise covariances; linear matrix inequality; Automatic control; Control systems; Differential algebraic equations; Filtering; Kalman filters; Linear matrix inequalities; Optimal control; Riccati equations; Sensitivity analysis; Steady-state;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/9.566672
  • Filename
    566672
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1402876