SOLUTION OF THE DIFFERENTIAL RICCATI EQUATION USING THE TRANSMISSION-LINE MODELING (TLM) TECHNIQUE

In this communication, the application of the transmission line modelling (TLM) technique to the solution of the differential Riccati equation is described. A comparison is made between the TLM, fourth-order Runge-Kutta and the first-order Gear methods, for the case where one is applying the Kalman filter to the estimation of a voltage in a passive analogue circuit. In the particular example studied, the state equation is second-order. It is found that, when the system is underdamped, the fourth-order Runge-Kutta method has the best performance, followed by the TLM method. When the system is overdamped and stiff, the TLM method yields results that are closest to the analytical solution. Finally, a discussion is presented of the effects of errors in the TLM solution of the Riccati equation on the accuracy of the solution to the continuous Kalman filter estimation equation.