On the Convergence of the Modified Riccati Equation
Joint Authors
Assimakis, Nicholas
Adam, Maria
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-5, 5 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-07-08
Country of Publication
Egypt
No. of Pages
5
Main Subjects
Electronic engineering
Information Technology and Computer Science
Abstract EN
The modified Riccati equation arises in the implementation of Kalman filter in target tracking under measurement uncertainty and it cannot be transformed into an equation of the form of the Riccati equation.
An iterative solution algorithm of the modified Riccati equation is proposed.
A method is established to decide when the proposed algorithm is faster than the classical one.
Both algorithms have the same behavior: if the system is stable, then there exists a steady-state solution, while if the system is unstable, then there exists a critical value of the measurement detection probability, below which both iterative algorithms diverge.
It is established that this critical value increases in a logarithmic way as the system becomes more unstable.
American Psychological Association (APA)
Assimakis, Nicholas& Adam, Maria. 2012. On the Convergence of the Modified Riccati Equation. ISRN Signal Processing،Vol. 2012, no. 2012, pp.1-5.
https://search.emarefa.net/detail/BIM-486173
Modern Language Association (MLA)
Assimakis, Nicholas& Adam, Maria. On the Convergence of the Modified Riccati Equation. ISRN Signal Processing No. 2012 (2012), pp.1-5.
https://search.emarefa.net/detail/BIM-486173
American Medical Association (AMA)
Assimakis, Nicholas& Adam, Maria. On the Convergence of the Modified Riccati Equation. ISRN Signal Processing. 2012. Vol. 2012, no. 2012, pp.1-5.
https://search.emarefa.net/detail/BIM-486173
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-486173