Some estimation formulae for continuous time-invariant linear systemsIn this brief paper we examine a Riccati equation decomposition due to Reid and Lainiotis and apply the result to the continuous time-invariant linear filtering problem. Exploitation of the time-invariant structure leads to integration-free covariance recursions which are of use in covariance analyses and in filter implementations. A super-linearly convergent iterative solution to the algebraic Riccati equation (ARE) is developed. The resulting algorithm, arranged in a square-root form, is thought to be numerically stable and competitive with other ARE solution methods. Certain covariance relations that are relevant to the fixed-point and fixed-lag smoothing problems are also discussed.
Document ID
19760060689
Acquisition Source
Legacy CDMS
Document Type
Conference Proceedings
Authors
Bierman, G. J. (California Institute of Technology, Jet Propulsion Laboratory, Pasadena Calif., United States)
Sidhu, G. S. (New York, State University Buffalo, N.Y., United States)
Date Acquired
August 8, 2013
Publication Date
January 1, 1975
Subject Category
Cybernetics
Meeting Information
Meeting: Symposium on Nonlinear Estimation Theory and Its Applications