Convergence of the DRE solution to the ARE strong solution

DOI10.1109/9.566672zbMath0876.93087OpenAlexW2168022335MaRDI QIDQ4339734

Thomas Kailath, Poo Gyeon Park

Publication date: 3 August 1997

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.566672

zbMATH Keywords

algebraic Riccati equationKalman filteringdifferential Riccati equationindefinite noise covariances

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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