New doubling algorithm for the discrete periodic Riccati equation
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Publication:1316136
DOI10.1016/0096-3003(94)90109-0zbMath0798.65071OpenAlexW2025185012WikidataQ126437416 ScholiaQ126437416MaRDI QIDQ1316136
Nicholas Assimakis, Demetrios G. Lainiotis, Sokratis K. Katsikas
Publication date: 30 October 1994
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0096-3003(94)90109-0
numerical testsKalman filterdoubling algorithmLainiotis filterrecursive discrete periodic Riccati equation
Filtering in stochastic control theory (93E11) Numerical optimization and variational techniques (65K10) Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55)
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The Maximal Solution and Comparison Theorems for the Periodic Discrete-Time Riccati Equation, A survey of recursive algorithms for the solution of the discrete time Riccati Equation, Structure-Preserving Algorithms for Periodic Discrete-Time Algebraic Riccati Equations
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