Name
Abstract | ||
|---|---|---|
Some important textbooks on Kalman Filters suggest that positive semidefinite solutions to the filtering Algebraic Riccati Equation (ARE) cannot be stabilizing should the underlying state variable realization be unstabilizable. We show that this is false. Questions of uniqueness of positive semidefinite solutions of the ARE are also unresolved in the absence of stabilizability. Yet fundamental performance issues in modern communications systems hinge on Kalman Filter performance absent stabilizability. In this paper we provide a positive semidefinite solution to the ARE for detectable systems that are not stabilizabile and show that it is unique if the only unreachable modes are on the unit circle. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1109/CDC.2014.7040168 | Decision and Control |
Keywords | Field | DocType |
Kalman filters,Riccati equations,stability,ARE,Kalman filter performance,algebraic Riccati equation,communications systems,positive semidefinite solutions,stabilizability,state variable realization,steady state Kalman filter behavior,unstabilizable systems,Kalman Filter,Riccati Equation,Stability,Uniqueness | Mathematical optimization,Extended Kalman filter,Alpha beta filter,Linear-quadratic-Gaussian control,Fast Kalman filter,Control theory,Algebraic Riccati equation,Riccati equation,Invariant extended Kalman filter,Ensemble Kalman filter,Mathematics | Conference |
ISSN | Citations | PageRank |
0743-1546 | 0 | 0.34 |
References | Authors | |
5 | 4 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Soura Dasgupta | 1 | 679 | 96.96 |
| D. Richard Brown | 2 | 24 | 6.67 |
| Rui Wang | 3 | 4 | 3.20 |
| Brown, D.R. | 4 | 0 | 0.34 |