精确分解确定性和随机多模型最优控制和滤波问题的代数Riccati方程

Proceedings of the 1999 American Control Conference (Cat. No. 99CH36251) Pub Date : 1999-12-01 DOI:10.1109/ACC.1999.782372

C. Coumarbatch, Z. Gajic

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引用次数: 0

摘要

我们展示了如何将确定性和随机多建模的代数Riccati方程精确地分解为一个纯慢和两个纯快代数Riccati方程。此外，我们展示了如何将多建模结构的最优卡尔曼滤波器完全分解为纯慢和纯快定义良好的降阶独立卡尔曼滤波器。

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Exact decomposition of the algebraic Riccati equations of deterministic and stochastic multimodeling optimal control and filtering problems

We show how to exactly decompose the algebraic Riccati equations of deterministic and stochastic multimodeling in terms of one pure-slow and two pure-fast algebraic Riccati equations. In addition, we show how to completely decompose the optimal Kalman filter of the multimodeling structures in terms of pure-slow and pure-fast well-defined reduced-order, independent Kalman filters.

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Proceedings of the 1999 American Control Conference (Cat. No. 99CH36251)

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