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
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;
Conference_Titel :
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location :
San Antonio, TX
Print_ISBN :
0-7803-1298-8
DOI :
10.1109/CDC.1993.325382
