Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
696573 | Automatica | 2010 | 6 Pages |
Abstract
This paper considers the optimal linear estimates recursion problem for discrete-time linear systems in its more general formulation. The system is allowed to be in descriptor form, rectangular, time-variant, and with the dynamical and measurement noises correlated. We propose a new expression for the filter recursive equations which presents an interesting simple and symmetric structure. Convergence of the associated Riccati recursion and stability properties of the steady-state filter are provided.
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Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
João Y. Ishihara, Marco H. Terra, Aline F. Bianco,