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Bounds related to the Riccati difference equation for linear time varying systems

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Autor(es):
Costa, Eduardo F. ; Astolfi, Alessandro ; IEEE
Número total de Autores: 3
Tipo de documento: Artigo Científico
Fonte: PROCEEDINGS OF THE 48TH IEEE CONFERENCE ON DECISION AND CONTROL, 2009 HELD JOINTLY WITH THE 2009 28TH CHINESE CONTROL CONFERENCE (CDC/CCC 2009); v. N/A, p. 6-pg., 2009-01-01.
Resumo

We study certain difference equations arising in the stability analysis of Kalman filtering for a class of linear, discrete-time, possibly non-detectable systems with incorrect noise information. We obtain bounds for the solutions of these equations and the Riccati difference equation associated with the Kalman filter, under the assumption that the Riccati solution is bounded above and an assumption of structural time invariance. Illustrative examples are included. (AU)

Processo FAPESP: 03/06736-7 - Controle e filtragem de sistemas estocásticos markovianos com saltos nos parâmetros
Beneficiário:João Bosco Ribeiro do Val
Modalidade de apoio: Auxílio à Pesquisa - Temático