Journal ArticleDOI
An exact solution of the time-invariant discrete Kalman filter
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TLDR
In this paper, an exact solution of the Riccati difference equation associated with a time-invariant discrete Kalman filter is presented, and the time-varying solution is expressed by means of the corresponding steady-state algebraic solution.Abstract:
An exact solution is presented of the matrix Riccati difference equation associated with a time-invariant discrete Kalman filter. The time-varying solution is expressed by means of the corresponding steady-state algebraic solution. An exact solution of the closed-loop transition matrix is also presented.read more
Citations
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Journal ArticleDOI
Closed-Form Solutions of Target-Tracking Filters with Discrete Measurements
S.N. Gupta,S.M. Ahn +1 more
TL;DR: In this paper, exact closed-form solutions of the steady-state two-state exponentially correlated velocity (ECV) and three state exponentially correlated acceleration (ECA) target-tracking filters are derived for discrete position measurements.
Journal ArticleDOI
Fixed-lag smoothing in the identification of time-varying systems with unknown dead time
TL;DR: In this article, a new application of fixed-lag smoothing algorithms for identification of time-varying process models with unknown dead time from sampled input-output records is considered.
Journal Article
Singular Kalman filtering: New aspects based on an alternative system theory
R. Arnošt,P. Žampa +1 more
TL;DR: It is shown that the optimal filter proposed in this paper is a slight modification of the Kalman-Bucy filter which can generally contain integrators as well as (backward) differentiators.
Proceedings ArticleDOI
Thompson Sampling for Partially Observable Linear-Quadratic Control
TL;DR: In this paper , a Thompson sampling-based adaptive control algorithm, Thompson Sampling under Partial Observability (TSPO), was proposed to balance the exploration vs. exploitation trade-off and minimize the overall control cost in epochs.
References
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Journal ArticleDOI
On the relative performance of the Kalman and Wiener filters
R. Singer,P. Frost +1 more
TL;DR: In this paper, upper and lower bounds on the error covariance matrices of the Kalman and Wiener filters for linear finite state time-invariant systems are derived.
Journal ArticleDOI
On solutions of the Riccati equation in optimization problems
TL;DR: The relations can be used to compare the solution of the Riccati equation with its asymptotic solution and to evaluate M(t) for optimization problems in which M(T) does not exist.
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