FORTRAN Programs to Solve the Steady-State Matrix Riccati Equations Arising in Kalman Filtering Theory.

Abstract

The report describes a package of FORTRAN programs to solve the continuous and discrete matrix Riccati equations which arise in optimal filtering theory. A quasi-linearization algorithm is employed which is quadratically convergent. (Author)

Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1971
Accession Number
AD0736921

Entities

People

  • Gary A. Hewer
  • L. W. Lucas

Organizations

  • Naval Air Weapons Station China Lake

Tags

DTIC Thesaurus Topics

  • Algorithms
  • Differential Equations
  • Equations
  • Filtration
  • Kalman Filtering
  • Mathematical Analysis
  • Mathematics
  • Real Variables
  • Riccati Equation
  • Statistical Algorithms
  • Steady State

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Computer Science.
  • Linear Algebra