Name
Title | ||
|---|---|---|
A Frequency-Domain Characterization Of Optimal Error Covariance For The Kalman-Bucy Filter |
Abstract | ||
|---|---|---|
In this paper, we discover that the trace of the division of the optimal output estimation error covariance over the noise covariance attained by the Kalman-Bucy filter can be explicitly expressed in terms of the plant dynamics and noise statistics in a frequency-domain integral characterization. Towards this end, we examine the algebraic Riccati equation associated with Kalman-Bucy filtering using analytic function theory and relate it to the Bode integral. Our approach features an alternative, frequency-domain framework for analyzing algebraic Riccati equations and reduces to various existing related results. |
Year | Venue | DocType |
|---|---|---|
2018 | 2018 IEEE CONFERENCE ON DECISION AND CONTROL (CDC) | Conference |
Volume | ISSN | Citations |
abs/1807.08604 | 0743-1546 | 0 |
PageRank | References | Authors |
0.34 | 0 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Song Fang | 1 | 36 | 7.89 |
| Hideaki Ishii | 2 | 949 | 85.28 |
| Jie Chen | 3 | 647 | 124.78 |
| Karl Henrik Johansson | 4 | 3996 | 322.75 |