WSEAS Transactions on Systems and Control
Print ISSN: 1991-8763, E-ISSN: 2224-2856
Volume 18, 2023
(Special Issue: Constantin Caratheodory) Chandrasekhar-type Algorithms with Gain Elimination
Authors: ,
Abstract: Chandrasekhar-type algorithms are associated with the Riccati equation emanating from the Kalman filter in linear systems which describe the relationship between the n-dimensional state and the m-dimensional measurement. The traditional Chandrasekhar-type algorithms use the Kalman filter gain to compute the prediction error covariance. In this paper, two variations of Chandrasekhar-type algorithms eliminating the Kalman filter gain are proposed. The proposed Chandrasekhar-type algorithms with gain elimination may be faster than the traditional Chandrasekhar-type algorithms, depending on the model dimensions.
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Keywords: Discrete time, Kalman filter, Discrete algebraic Riccati equation, algebraic Lyapunov equation, Chandrasekhar-type algorithms, Kalman filter gain, convergence theory
Pages: 642-651
DOI: 10.37394/23203.2023.18.65