By Topic

Power series evaluation of transition and covariance matrices

Sign In

Full text access may be available.

To access full text, please use your member or institutional sign in.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

1 Author(s)
Bierman, G.J. ; Jet Propulsion Laboratories, Pasadena, CA, USA

Power series solutions to the matrix covariance differential equation \dot{P} = AP + (AP)' + Q and the transition differential equation \dot{\Phi } = A\Phi are reexamined. Truncation error bounds are derived which are computationally attractive and which extend previous results. Polynomial approximations are obtained by exploiting the functional equations satisfied by the transition and covariance matrices. The series-functional equation propagation technique represents a fast and accurate alternative to the numerical integration of the time-invariant transition and covariance equations.

Published in:

Automatic Control, IEEE Transactions on  (Volume:17 ,  Issue: 2 )