Efficient numerical algorithm for steady-state Kalman covariance |
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Authors: | Rogers SR |
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Institution: | Elta Electron., Ashdod; |
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Abstract: | A stable, quadratically convergent numerical algorithm is presented for computing the steady-state covariance and gain matrices of the Kalman filter. The method is more rapidly convergent than standard Riccati integration techniques and is easier to implement than existing eigenvalue-eigenvector algorithms. The quadratic convergence is proved analytically and illustrated by a numerical example |
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