A survey of recursive algorithms for the solution of the discrete time Riccati Equation

The Riccati Equation plays a fundamental role in many fields of mathematics, science and engineering. Its solution constitutes an integral prerequisite to the solution of important problems in the above fields. Due to the importance of the Riccati Equation, there exists considerable literature on it...

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Bibliographic Details
Published in:	Nonlinear analysis Vol. 30; no. 4; pp. 2409 - 2420
Main Authors:	Assimakis, N.D., Lainiotis, D.G., Katsikas, S.K., Sanida, F.L.
Format:	Journal Article
Language:	English
Published:	Elsevier Ltd 01-12-1997
Subjects:	Doubling Algorithm Estimation General Chandrasekhar Algorithm Kalman Filter Lainiotis Filter Riccati Equation Steady State Kalman Filter Doubling Algorithm General Chandrasekhar Algorithm Estimation Riccati Equation Steady State Lainiotis Filter
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Summary:	The Riccati Equation plays a fundamental role in many fields of mathematics, science and engineering. Its solution constitutes an integral prerequisite to the solution of important problems in the above fields. Due to the importance of the Riccati Equation, there exists considerable literature on its algebraic as well as algorithmic solution. A very large number of those studies are devoted to the continuous time Riccati Equation. In this paper we present a survey of classical as well as more recent recursive algorithms that solve the discrete time Riccati Equatbn emanating from the Kaiman Filter as well as from the Lainiotis Filter equations either using per step calculations or the doubling principle. It is established that these algorithms converge fast and are numerically stable.
ISSN:	0362-546X 1873-5215
DOI:	10.1016/S0362-546X(97)00062-X