Cultural advice

The Australian National University acknowledges, celebrates and pays our respects to the Ngunnawal and Ngambri people of the Canberra region and to all First Nations Australians on whose traditional lands we meet and work, and whose cultures are among the oldest continuing cultures in human history.

Aboriginal and Torres Strait Islander peoples are advised that ANU Library collections may include images, names, voices, and other representations of deceased persons.

Material in the collection may contain terms, language or views that reflect the period in which the item was created and may be considered inappropriate today.

Monotonicity and stabilizability- properties of solutions of the Riccati difference equation: Propositions, lemmas, theorems, fallacious conjectures and counterexamples

Thumbnail Image

Date

1985

Authors

Bitmead, Robert R.
Gevers, Michel R.
Petersen, Ian R.
Kaye, R. John

Journal Title

Journal ISSN

Volume Title

Publisher

Access Statement

Research Projects

Organizational Units

Journal Issue

Abstract

The problem considered is that of selecting an initial covariance matrix for the Kalman filter to ensure that the closed-loop filter at every subsequent time instant is exponentially asymptotically stable as a time-invariant filter. Sufficient conditions are derived based on monotonicity properties of the solution of the Riccati difference equation. The results have application in observer design, and the cases of filtering for nonstabilizable systems and systems with singular system matrices are included.

Description

Keywords

Kalman filtering, Riccati difference equation, Stabilizability

Citation

URI

https://hdl.handle.net/1885/733812568

Collections

ANU Research Publications

Source

Systems and Control Letters

Type

Journal article

Book Title

Entity type

Publication

Access Statement

License Rights

DOI

10.1016/0167-6911(85)90027-1

Restricted until

DSpace software copyright © 2002-2026 LYRASIS

abcd