FORTRAN Programs to Solve the Steady-State Matrix Riccati Equations Arising in Kalman Filtering Theory.
NAVAL WEAPONS CENTER CHINA LAKE CALIF
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The report describes a package of FORTRAN programs to solve the continuous and discrete matrix Riccati equations which arise in optimal filtering theory. A quasi-linearization algorithm is employed which is quadratically convergent. Author
- Theoretical Mathematics
- Computer Programming and Software