Alternative solution of discrete-time Kalman filter (Q1329777)
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scientific article; zbMATH DE number 612403
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Alternative solution of discrete-time Kalman filter |
scientific article; zbMATH DE number 612403 |
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Alternative solution of discrete-time Kalman filter (English)
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7 June 1995
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Kalman filtering for a discrete-time state space model is considered. Filter design equations are re-derived by starting with the quadratic optimal control problem for the dual system which is expressed in input/output form and then applying static optimization. This procedure also allows one to obtain a closed-form solution to the Riccati difference equation.
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filtering
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computational methods
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linear quadratic problems
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discrete- time systems
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