DocumentCode
2102081
Title
On the 3-block generalized Riccati equation of optimal filtering
Author
Darouach, M. ; Zasadzinski, M. ; Bassong-Onana, A.
Author_Institution
CNRS, Nancy I Univ., France
fYear
1993
fDate
15-17 Dec 1993
Firstpage
1239
Abstract
Considering the 3-block generalized Kalman filter (GKF) developed by Nikoukhah at el. (1992), we give, by establishing a relationship between the 3-block generalized Riccati difference equation with the standard Riccati equation, necessary and sufficient conditions for the convergence and stability of this GKF
Keywords
Kalman filters; convergence of numerical methods; difference equations; filtering and prediction theory; matrix algebra; nonlinear differential equations; stability; 3-block generalized Riccati equation; convergence; difference equation; generalized Kalman filter; necessary conditions; optimal filtering; stability; sufficient conditions; Control theory; Convergence; Difference equations; Filtering; Least squares approximation; Maximum likelihood estimation; Riccati equations; Stability; Standards development; Sufficient conditions;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location
San Antonio, TX
Print_ISBN
0-7803-1298-8
Type
conf
DOI
10.1109/CDC.1993.325382
Filename
325382
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