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