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
fDate :
4/1/1997 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
