DocumentCode :
851776
Title :
Explicit solution to the unstable stationary filtering problem
Author :
Shaked, U. ; Soroka, E.
Author_Institution :
Tel-Aviv University, Tel-Aviv, Israel
Volume :
31
Issue :
2
fYear :
1986
fDate :
2/1/1986 12:00:00 AM
Firstpage :
185
Lastpage :
189
Abstract :
An expression in closed form for the constant Kalman gain in stationary filtered estimation of linear unstable processes is obtained and bounds on the achievable accuracy of the estimate are derived. This expression is used to find lower and upper bounds for the singular values of the solution of the algebraic matrix Riccati equation and to derive the minimum-phase image of linear systems that possess zeros in the right half plane.
Keywords :
Algebraic Riccati equation (ARE); Kalman filtering, linear systems; Riccati equations, algebraic; Covariance matrix; Filtering; Kalman filters; Linear systems; Matrices; Nonlinear filters; Optimal control; Riccati equations; State estimation; Upper bound;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1986.1104216
Filename :
1104216
Link To Document :
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