Title :
On the generalized Riccati difference equation
Author :
Darouach, M. ; Zasadzinski, M. ; Onana, A. Bassong
Author_Institution :
CRAN-EARAL, CNRS, Cosnes-et-Romain, France
Abstract :
The generalized Riccati difference equation (GRDE) arising in the generalized Kalman filter is considered. The convergence and stability conditions are derived in terms of detectability and reachability of the singular discrete system
Keywords :
Kalman filters; convergence; difference equations; filtering and prediction theory; matrix algebra; stability criteria; convergence conditions; detectability; generalized Kalman filter; generalized Riccati difference equation; reachability; singular discrete system; stability conditions; Biological systems; Chemicals; Convergence; Difference equations; Filters; Large-scale systems; Riccati equations; Stability; Sufficient conditions; Symmetric matrices;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.371579
