SEQUENTIAL DECOMPOSITION OF THE PARTIALLY SINGULAR DISCRETE TIME FILTERING PROBLEM.

B. Priel, U. Shaked

Research output: Contribution to journalConference articlepeer-review

Abstract

A sequential decomposition method is developed for solving the stationary discrete-time algebraic matrix Riccati equation. This decomposition is applied to the partially singular stationary filtering problem where some of the system outputs are free of measurement noise. Explicit expressions are obtained for the minimum error covariance matrices in the case where the number of the noise free measurements is equal to the number of independent inputs.

Original languageEnglish
Pages (from-to)1048-1053
Number of pages6
JournalProceedings of the IEEE Conference on Decision and Control
DOIs
StatePublished - 1986

Fingerprint

Dive into the research topics of 'SEQUENTIAL DECOMPOSITION OF THE PARTIALLY SINGULAR DISCRETE TIME FILTERING PROBLEM.'. Together they form a unique fingerprint.

Cite this