Title :
Correlated noise filtering and invariant directions for the Riccati equation
Author :
Bucy, Richard S. ; Rappaport, David ; Silverman, Leonard M.
Author_Institution :
University of Southern California, Los Angeles, CA, USA
fDate :
10/1/1970 12:00:00 AM
Abstract :
The Riccati equation associated with a class of discrete-time correlated noise problems is examined, and the concept of invariant directions for this equation is introduced. For single-output systems the set of such directions is completely characterized. Deletion of these directions by an appropriate transformation of the Riccati equation results in a minimal order equation for computation. This transformation also reveals the underlying structure of the optimal filter for the correlated noise problem.
Keywords :
Discrete time Riccati equations; Filtering; Riccati equations, discrete-time; Delay estimation; Filtering theory; Helium; Kalman filters; Lead time reduction; Nonlinear filters; Riccati equations; State estimation; Stochastic systems; Time measurement;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1970.1099553
