KALMAN FILTERING WITH RANDOM-COEFFICIENTS AND CONTRACTIONS

Authors
BOUGEROL P
Citation
P. Bougerol, KALMAN FILTERING WITH RANDOM-COEFFICIENTS AND CONTRACTIONS, SIAM journal on control and optimization, 31(4), 1993, pp. 942-959
Citations number
32
Categorie Soggetti
Controlo Theory & Cybernetics",Mathematics
Journal title
SIAM journal on control and optimization → ACNP
ISSN journal
03630129
Volume
31
Issue
4
Year of publication
1993
Pages
942 - 959
Database
ISI
SICI code
0363-0129(1993)31:4<942:KFWRAC>2.0.ZU;2-E
Abstract
The Riccati transformation of linear filtering/control theory is shown to be a contraction on the space of positive symmetric matrices. This is used to describe the asymptotic behavior of the filter for systems with stochastic stationary parameters.