• 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