Explicit Solution to the Unstable Stationary Filtering Problem

U. Shaked, E. Soroka

Research output: Contribution to journalArticlepeer-review

14 Scopus citations

Abstract

An expression in closed form for the constant Kalman gain in stationary filtered estimation of linear unstable processes is obtained and bounds on the achievable accuracy of the estimate are derived. This expression is used to find lower and upper bounds for the singular values of the solution of the algebraic matrix Riccati equation and to derive the minimum-phase image of linear systems that possess zeros in the right half plane.

Original languageEnglish
Pages (from-to)185-189
Number of pages5
JournalIEEE Transactions on Automatic Control
Volume31
Issue number2
DOIs
StatePublished - Feb 1986

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