On the Convergence of the Modified Riccati Equation. (8th July 2012)

• Record Type: Journal Article
• Authors: Assimakis, Nicholas; Adam, Maria
• Other Names: Kok C.-W. Academic Editor.; Kuo C.-M. Academic Editor.
• Is Part Of: ISRN signal processing. Volume 2012(2012)
• Publication Date: 2012-07-08
• Subjects: Signal processing -- Periodicals; Signal processing; Periodicals; 621.3822
• DOI: 10.5402/2012/625897
• Languages: English
• ISSNs: 2090-5041

Abstract

Abstract : The modified Riccati equation arises in the implementation of Kalman filter in target tracking under measurement uncertainty and it cannot be transformed into an equation of the form of the Riccati equation. An iterative solution algorithm of the modified Riccati equation is proposed. A method is established to decide when the proposed algorithm is faster than the classical one. Both algorithms have the same behavior: if the system is stable, then there exists a steady-state solution, while if the system is unstable, then there exists a critical value of the measurement detection probability, below which both iterative algorithms diverge. It is established that this critical value increases in a logarithmic way as the system becomes more unstable.