Title :
Kalman filtering and Riccati equations for descriptor systems
Author :
Nikoukhah, Ramine ; Willsky, Alan S. ; Levy, Bernard C.
Author_Institution :
INRIA, Le Chesnay, France
Abstract :
The theory of Kalman filtering is extended to the case of systems with descriptor dynamics. Explicit expressions are obtained for the descriptor Kalman filter allowing for the possible singularity of the observation noise covariance. The asymptotic behavior of the filter in the time-invariant case is studied; in particular, a method for constructing the solution of the algebraic descriptor Riccati equation is presented
Keywords :
Kalman filters; algebra; filtering and prediction theory; Kalman filter; Riccati equations; algebraic descriptor; descriptor dynamics; descriptor systems; time-invariant case; Artificial intelligence; Computer science; Eigenvalues and eigenfunctions; Filtering theory; Gaussian noise; Kalman filters; Nonlinear filters; Riccati equations; State estimation; Steady-state;
Conference_Titel :
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Conference_Location :
Honolulu, HI
DOI :
10.1109/CDC.1990.203308
