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An exact solution of the time-invariant discrete Kalman filter

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1 Author(s)
Orfanidis, S. ; Rutgers University, Piscataway, NJ, USA

An exact solution is presented of the matrix Riccati difference equation associated with a time-invariant discrete Kalman filter. The time-varying solution is expressed by means of the corresponding steady-state algebraic solution. An exact solution of the closed-loop transition matrix is also presented.

Published in:

Automatic Control, IEEE Transactions on  (Volume:27 ,  Issue: 1 )