Constant, predictable and degenerate directions of the discrete-time Riccati equation

DOI10.1016/0005-1098(73)90029-0zbMath0269.93086OpenAlexW2019864386MaRDI QIDQ758450

Thomas Kailath, Michel Gevers

Publication date: 1973

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(73)90029-0

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Discrete-time control/observation systems (93C55)

Related Items

Efficient solution of linear systems of equations with recursive structure ⋮ Linear-quadratic discrete-time control and constant directions ⋮ How to decompose semi-definite discrete-time algebraic Riccati equations ⋮ A utilization of properties of the discrete-time Riccati equation in stochastic realization theory

Cites Work

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• Constant directions of the Riccati equation
• An innovations approach to least-squares estimation--Part VII: Some applications of vector autoregressive-moving average models
• Estimation of multi-input systems with ‘noiseless’ outputs
• An innovations approach to least-squares estimation--Part V: Innovations representations and recursive estimation in colored noise