Recursive robust filter for discrete-time State-space linear systems
| Full text | |
| Author(s): |
Costa, E. F.
;
Val, João Bosco Ribeiro do
[2]
Total Authors: 2
|
| Document type: | Journal article |
| Source: | European Journal of Control; v. 10, n. 6, p. 576-580, 2004. |
| Field of knowledge: | Engineering - Electrical Engineering |
| Abstract | |
The paper presents an algorithm for solvingaperturbed algebraic Riccati equation, which involvesamonotone operator and comprises the usual Riccati equation and coupled algebraic Riccati equations as particular cases. The method relies on iterations of Riccati equations for which solutions are ensured to exist and to be unique, via the adequate choice of certain parameters. We show that the method generatesamonotonically increasing sequence that converges to the minimal solution of the original equation whenever it exists. In this case, the convergence is unconditionally ensured; no stability or any other condition is taken into account. Illustrative numerical examples are included. (AU) | |
| FAPESP's process: | 03/06736-7 - Control and filtering of Markovian jumping parameters stochastic systems |
| Grantee: | João Bosco Ribeiro do Val |
| Support type: | Research Projects - Thematic Grants |