Analysis of a Discrete Matrix Riccati Equation of Linear Control and Kalman Filtering.
NAVAL WEAPONS CENTER CHINA LAKE CALIF
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A characterization of the interrelationship between the recursive Riccati difference equation and its steady-state form is developed via the method of quasi-linearization. Not only does this approach unify the discussion, but also strengthens known results. In addition, this method yields an algorithm for computing the solution of the steady-state equation. Author
- Theoretical Mathematics