论文信息 - Sequential decomposition of the partially singular discrete time filtering problem

Sequential decomposition of the partially singular discrete time filtering problem

A sequential decomposition method is developed for solving the stationary discrete-time algebraic matrix Riccati equation. This decomposition is applied to the partially singular stationary filtering problem where some of the system outputs are free of measurement noise. Explicit expressions are obtained for the minimum error covariance matrices in the case where the number of the noise free measurements is equal to the number of independent inputs.

U. Shaked | B. Priel

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