An exact solution of the time-invariant discrete Kalman filter |
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Authors: | Orfanidis S |
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Affiliation: | Rutgers University, Piscataway, NJ, USA; |
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Abstract: | An exact solution is presented of the matrix Riccati difference equation associated with a time-invariant discrete Kalman filter. The time-varying solution is expressed by means of the corresponding steady-state algebraic solution. An exact solution of the closed-loop transition matrix is also presented. |
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