Title :
A nonrecursive algebraic solution for the discrete smoothed error covariance matrix
Author_Institution :
Hughes Aircraft Company, Fullerton, CA, USA
fDate :
4/1/1973 12:00:00 AM
Abstract :
The algebraic solution for the discrete Riccati equation may be exploited to obtain nonrecursive solutions for the discrete smoothed error-covariance matrix. The system matrix required to obtain this result is given, and the corresponding matrix for the continuous case may be found in an analogous manner.
Keywords :
Covariance matrices; Linear systems, time-invariant discrete-time; Smoothing methods; Covariance matrix; Eigenvalues and eigenfunctions; Gradient methods; Integral equations; Linear systems; Nonlinear filters; Optimal control; Riccati equations; Smoothing methods; Steady-state;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1973.1100244
