Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems
Authors:
- Siew ChanSCSiew Chan
- G. GoodwinGGG. Goodwin
- Kwai SinKSKwai Sin
- 1 February 1984
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 29 (2) , 110-118
Abstract
This paper studies the convergence and properties of the solutions of the Riccati difference equation. Special emphasis is given to systems which are not necessarily stabilizable (in the filtering sense), particularly those having uncontrollable roots on the unit circle. Besides generalizing and unifying previous work, the results have application to a number of important problems including filtering and control of systems with purely deterministic disturbances such as sinusoids and drift components.Keywords
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