DocumentCode
811355
Title
A nonrecursive algebraic solution for the discrete smoothed error covariance matrix
Author
Monzingo, R.
Author_Institution
Hughes Aircraft Company, Fullerton, CA, USA
Volume
18
Issue
2
fYear
1973
fDate
4/1/1973 12:00:00 AM
Firstpage
175
Lastpage
175
Abstract
The algebraic solution for the discrete Riccati equation may be exploited to obtain nonrecursive solutions for the discrete smoothed error-covariance matrix. The system matrix required to obtain this result is given, and the corresponding matrix for the continuous case may be found in an analogous manner.
Keywords
Covariance matrices; Linear systems, time-invariant discrete-time; Smoothing methods; Covariance matrix; Eigenvalues and eigenfunctions; Gradient methods; Integral equations; Linear systems; Nonlinear filters; Optimal control; Riccati equations; Smoothing methods; Steady-state;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1973.1100244
Filename
1100244
Link To Document