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On the Phase Portrait of the Fast Filtering Algorithms

Published online by Cambridge University Press:  15 August 2002

Yishao Zhou
Yishao Zhou*
Affiliation:
Department of Mathematics, Stockholm University, 10691 Stockholm, Sweden; yishao@matematik.su.se.
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Abstract

Fast filtering algorithms arising from linear filtering and estimation are nonlinear dynamical systems whose initial values are the statistics of the observation process. In this paper, we give a fairly complete description of the phase portrait for such nonlinear dynamical systems, as well as a special type of naturally related matrix Riccati equation.

Keywords

Fast filtering algorithmsRiccati equationsKalman filteringnonlinear dynamical systems.

Information

Type
Research Article
Information
ESAIM: Control, Optimisation and Calculus of Variations , Volume 4 , 1999 , pp. 609 - 630
Copyright
© EDP Sciences, SMAI, 1999

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