DocumentCode
839281
Title
Decoupled decomposition of the Riccati equation
Author
Bagchi, A. ; Strijbos, R. C W
Author_Institution
University of Twente, Enschede, The Netherlands
Volume
27
Issue
3
fYear
1982
fDate
6/1/1982 12:00:00 AM
Firstpage
696
Lastpage
698
Abstract
The general matrix Riccati equation is decomposed into product of two factors where the first one is determined independent of the second factor. Condition for existence of solution of the Riccati equation is given via this decomposition and the existence of solution of the self-adjoint matrix Riccati equation arising in optimal control and Kalman filtering is directly established from that condition.
Keywords
Algebraic Riccati equation (ARE); Kalman filtering; Matrix decomposition/factorization; Riccati equations, algebraic; Controllability; Differential equations; Estimation theory; Filtering; Kalman filters; Mathematics; Matrix decomposition; Optimal control; Riccati equations; State-space methods;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1982.1102998
Filename
1102998
Link To Document