• DocumentCode
    837573
  • Title

    An exact solution of the time-invariant discrete Kalman filter

  • Author

    Orfanidis, S.

  • Author_Institution
    Rutgers University, Piscataway, NJ, USA
  • Volume
    27
  • Issue
    1
  • fYear
    1982
  • fDate
    2/1/1982 12:00:00 AM
  • Firstpage
    240
  • Lastpage
    242
  • Abstract
    An exact solution is presented of the matrix Riccati difference equation associated with a time-invariant discrete Kalman filter. The time-varying solution is expressed by means of the corresponding steady-state algebraic solution. An exact solution of the closed-loop transition matrix is also presented.
  • Keywords
    Discrete time Riccati equations; Kalman filtering, linear systems; Riccati equations, discrete-time; Digital signal processing; Estimation error; Observers; Riccati equations; Statistics; Steady-state; Vectors;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1982.1102836
  • Filename
    1102836
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=837573