Convergence of the DRE solution to the ARE strong solution

被引：13

作者：

Park, PG ^{[1
]}

Kailath, T ^{[1
]}

机构：

[1] STANFORD UNIV, DEPT ELECT ENGN, INFORMAT SYST LAB, STANFORD, CA 94305 USA

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1997年 / 42卷 / 04期

关键词：

algebraic Riccati equation; convergence; differential Riccati equation; indefinite input noise covariances; Kalman filtering;

D O I：

10.1109/9.566672

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, we use the boundary solutions to a linear matrix inequality (LMI) associated with Kalman filtering to investigate the convergence of the solution of a differential Riccati equation (DRE) to the so-called strong solution of an algebraic Riccati equation (ARE). We furthermore extend our results to Kalman filtering with indefinite input noise covariances.

引用

页码：573 / 578

页数：6

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