Riccati equation

About: Riccati equation is a research topic. Over the lifetime, 10428 publications have been published within this topic receiving 210015 citations. The topic is also known as: Riccati's differential equation.

Some new algorithms for recursive estimation in constant, linear, discrete-time systems

Abstract: Certain recently developed fast algorithms for recursive estimation in constant continuous-time linear systems are extended to discrete-time systems. The main feature is the replacement of the Riccati-type difference equation that is generally used for such problems by another set of difference equations that we call of Chandrasekhar-type. The total number of operations in the new algorithm is in general less than with the Riccati-equation based Kalman filter, with significant reductions being obtained in several important special cases. The algorithms are derived via a factorization of increments of the Riccati equation variable, a method that can be extended to nonsymmetric Riccati equations as well.

Event-based state estimation with variance-based triggering

Abstract: An event-based state estimation scenario is considered where a sensor sporadically transmits observations of a scalar linear process to a remote estimator. The remote estimator is a time-varying Kalman filter. The triggering decision is based on the estimation variance: the sensor runs a copy of the remote estimator and transmits a measurement if the associated measurement prediction variance exceeds a tolerable threshold. The resulting variance iteration is a new type of Riccati equation with switching that corresponds to the availability or unavailability of a measurement and depends on the variance at the previous step. We study asymptotic properties of the variance iteration and, in particular, asymptotic convergence to a periodic solution.