Correlated noise filtering and invariant directions for the Riccati equation
- 1 October 1970
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 15 (5) , 535-540
- https://doi.org/10.1109/tac.1970.1099553
Abstract
The Riccati equation associated with a class of discrete-time correlated noise problems is examined, and the concept of invariant directions for this equation is introduced. For single-output systems the set of such directions is completely characterized. Deletion of these directions by an appropriate transformation of the Riccati equation results in a minimal order equation for computation. This transformation also reveals the underlying structure of the optimal filter for the correlated noise problem.Keywords
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