A new computationally effective algorithm for solving the discrete Riccati equation
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Publication:1340529
DOI10.1006/JMAA.1994.1338zbMath0808.93025OpenAlexW2051856676MaRDI QIDQ1340529
Sokratis K. Katsikas, Demetrios G. Lainiotis, Nicholas Assimakis
Publication date: 5 March 1995
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jmaa.1994.1338
Related Items (6)
Fast iterative solutions of Riccati and Lyapunov equations ⋮ Iterative and algebraic algorithms for the computation of the steady state Kalman filter gain ⋮ Numerical solutions of the algebraic matrix Riccati equation ⋮ A survey of recursive algorithms for the solution of the discrete time Riccati Equation ⋮ Kalman filter Riccati equation for the prediction, estimation, and smoothing error covariance matrices ⋮ A practical implementation for solutions to the algebraic matrix Riccati equation in an LQCM setting
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