NDLI: Connection between the three-block generalized Riccati equation and the standard Riccati equation

Content Provider	IEEE Xplore Digital Library
Author	Darouach, M. Zasadzinski, M. Bassong-Onana, A.
Copyright Year	1963
Abstract	Nikoukhah et al. (1992) developed a maximum likelihood descriptor Kalman filter the properties of which are governed by a three-block generalized Riccati difference equation (GRDE). The convergence of this GRDE has been studied and the generalization of the eigenvector approach to solving the associated generalized algebraic Riccati equation has been carried out. In this paper, the authors connect the GRDE to the standard Riccati equation to point out Nikoukhah's results from well-known results obtained in standard Kalman filtering. Moreover, while the previous study provides only sufficient conditions on the convergence and stability of the three-block descriptor Kalman filter, the relationship established herein allows the authors to derive necessary and sufficient conditions. In addition, several descriptor Kalman filtering problems can be treated as in the standard case.<>
Sponsorship	IEEE Control Systems Society
Starting Page	1755
Ending Page	1758
Page Count	4
File Size	382280
File Format	PDF
ISSN	00189286
Volume Number	39
Issue Number	8
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1994-08-01
Publisher Place	U.S.A.
Access Restriction	One Nation One Subscription (ONOS)
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Riccati equations Convergence Difference equations Sufficient conditions Stability Filtering Kalman filters Integrated circuit noise Gaussian noise Control theory
Content Type	Text
Resource Type	Article
Subject	Control and Systems Engineering Electrical and Electronic Engineering Computer Science Applications

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