Steady state Kalman Filter behavior for unstabilizable systems

Some important textbooks on Kalman Filters suggest that positive semidefinite solutions to the filtering Algebraic Riccati Equation (ARE) cannot be stabilizing should the underlying state variable realization be unstabilizable. We show that this is false. Questions of uniqueness of positive semidefinite solutions of the ARE are also unresolved in the absence of stabilizability. Yet fundamental performance issues in modern communications systems hinge on Kalman Filter performance absent stabilizability. In this paper we provide a positive semidefinite solution to the ARE for detectable systems that are not stabilizabile and show that it is unique if the only unreachable modes are on the unit circle.

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