KALMAN FILTERING WITH RANDOM-COEFFICIENTS AND CONTRACTIONS

被引：149

作者：

BOUGEROL, P

机构：

[1] Universite Paris VI, Paris

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1993年 / 31卷 / 04期

关键词：

KALMAN FILTER; STOCHASTIC PARAMETERS; RICCATI EQUATION; STATIONARY PROCESS;

D O I：

10.1137/0331041

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The Riccati transformation of linear filtering/control theory is shown to be a contraction on the space of positive symmetric matrices. This is used to describe the asymptotic behavior of the filter for systems with stochastic stationary parameters.

引用

页码：942 / 959

页数：18

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