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Reports Year : 1990

Kalman filtering and Riccati equations for descriptor systems

A.S. Willsky
  • Function : Author
Bernard C. Levy
  • Function : Author

Abstract

The theory of Kalman filtering is extended to the case of systems with descriptor dynamics. Explicit expressions are obtained for this descriptor Kalman filter allowing for the possible singularity of the observation noise covariance. Asymptotic behavior of the filter in the time-invariant case is studied ; in particular, a method for constructing the solution of the algebraic descriptor Riccati equation is presented.

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Other [cs.OH]
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Dates and versions

inria-00075372 , version 1 (24-05-2006)

Identifiers

  • HAL Id : inria-00075372 , version 1

Cite

Ramine Nikoukhah, A.S. Willsky, Bernard C. Levy. Kalman filtering and Riccati equations for descriptor systems. RR-1186, INRIA. 1990. ⟨inria-00075372⟩
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