Return-difference and spectral factorisation relationship for the discrete-time Kalman filter

DOI10.1016/0167-6911(85)90016-7zbMath0562.62083OpenAlexW2060533598MaRDI QIDQ1057024

M. J. Grimble

Publication date: 1985

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(85)90016-7

zbMATH Keywords

spectral factorizationKalman filterKalman gain matrixcovariance factorisationnon-stationary systemsoptimal discrete-time time- varying filteringreturn difference resultstime-varying ARMA modeltime-varying polynomial operator approach

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

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Polynomial LQG control of back-up-roll eccentricity gauge variations in cold rolling mills

Cites Work

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• New results in state estimation and regulation
• The use of operator factorization for linear control and estimation
• LQG optimization of PID structured multi-model process control systems: One DOF tracking and feedforward control

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