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Contribution to the solution of the linear-quadratic problem for large systems

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2 Author(s)
Wehn, W.H. ; Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada ; Belanger, P.R.

The feasibility of using a previously published algorithm as a tool for the computation of the Kalman gain for large systems is demonstrated. Some aspects of its implementation and its numerical properties are explored. Numerical examples demonstrate the suitability of the algorithm for the computation of the optimal gain for very-high-order systems. The optimal gain is computed for a sparse system with 401 states

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Automatic Control, IEEE Transactions on  (Volume:35 ,  Issue: 2 )