Title :
An exact solution of the time-invariant discrete Kalman filter
Author_Institution :
Rutgers University, Piscataway, NJ, USA
fDate :
2/1/1982 12:00:00 AM
Abstract :
An exact solution is presented of the matrix Riccati difference equation associated with a time-invariant discrete Kalman filter. The time-varying solution is expressed by means of the corresponding steady-state algebraic solution. An exact solution of the closed-loop transition matrix is also presented.
Keywords :
Discrete time Riccati equations; Kalman filtering, linear systems; Riccati equations, discrete-time; Digital signal processing; Estimation error; Observers; Riccati equations; Statistics; Steady-state; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1982.1102836
