• DocumentCode
    2816682
  • Title

    Asymptotic convergence of Riccati equation and smoother solutions

  • Author

    Einicke, Garry A.

  • Author_Institution
    Commonwealth Sci. & Ind. Res. Organ., Pullenvale
  • fYear
    2007
  • fDate
    12-14 Dec. 2007
  • Firstpage
    6203
  • Lastpage
    6207
  • Abstract
    This paper describes sufficient conditions for the monotonic convergence of discrete-time and continuous-time Riccati equations. It is shown that when the Riccati equation solutions converge, the time-varying, minimum-variance, fixed-interval smoothers provide optimal performance. That is, the energy of the estimation errors asymptotically approach a lower bound and attain I2/L2 stability.
  • Keywords
    Riccati equations; continuous time systems; discrete time systems; error analysis; smoothing methods; stability; time-varying systems; asymptotic convergence; continuous-time Riccati equations; discrete-time equations; error estimation; fixed-interval smoothers; minimum-variance systems; monotonic convergence; time-varying systems; Asymptotic stability; Difference equations; Differential equations; Estimation error; Filtering; Mercury (metals); Noise measurement; Riccati equations; Sufficient conditions; USA Councils; Kalman filtering; Riccati equations; Smoothing; non-causal filtering; stability;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2007 46th IEEE Conference on
  • Conference_Location
    New Orleans, LA
  • ISSN
    0191-2216
  • Print_ISBN
    978-1-4244-1497-0
  • Electronic_ISBN
    0191-2216
  • Type

    conf

  • DOI
    10.1109/CDC.2007.4434151
  • Filename
    4434151
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2816682