{"title":"Exact decomposition of the algebraic Riccati equations of deterministic and stochastic multimodeling optimal control and filtering problems","authors":"C. Coumarbatch, Z. Gajic","doi":"10.1109/ACC.1999.782372","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":441363,"journal":{"name":"Proceedings of the 1999 American Control Conference (Cat. No. 99CH36251)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1999-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the 1999 American Control Conference (Cat. No. 99CH36251)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ACC.1999.782372","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
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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