I. Rusnak, CLOSED-FORM SOLUTION FOR THE KALMAN FILTER GAINS OF TIME-VARYING SYSTEMS, IEEE transactions on aerospace and electronic systems, 34(2), 1998, pp. 635-639
A method for derivation of closed-form solutions for the differential
Riccati matrix equation for specific time-varying systems is presented
. It allows more insight into the nature of the solution. It reduces t
he on-line computation requirements, since it does not require on-line
solution of a differential equation. Sufficient conditions for the ex
istence of the closed-form solution are given. The method is applied t
o a target tracking problem.