Return-difference-matrix properties for optimal stationary discrete Kalman filter
- 1 January 1971
- journal article
- Published by Institution of Engineering and Technology (IET) in Proceedings of the Institution of Electrical Engineers
- Vol. 118 (12) , 1831-1834
- https://doi.org/10.1049/piee.1971.0344
Abstract
A simple characterisation of the optimal stationary discrete Kalman filter is obtained in terms of the return-difference matrix for the associated feedback system. A ztransform spectral factorisation of the observation spectral-density matrix is developed from the discrete-time matrix Riccati equation, and is shown to generate directly the appropriate return-difference matrix. This leads to a proof of a necessary condition for optimality of discrete multivariable-feedback filter and regulator problems.Keywords
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