IEEE Transactions on Automatic Control, Vol.39, No.8, 1755-1758, 1994
Connection Between the 3-Block Generalized Riccati Equation and the Standard Riccati Equation
In a recent paper, Nikoukbah et al. [1] developed a maximum likelihood descriptor Kalman filter the properties of which are governed by a three-block generalized Riccati difference equation (GRDE). The convergence of this GRDE has been studied and the generalization of the eigenvector approach to solving the associated generalized algebraic Riccati equation has been carried out. In this paper, we connect the GRDE to the standard Riccati equation to point out Nikoukhah’s results from well-known results obtained in the standard Kalman filtering. Moreover, while the previous study made by [1] provides only sufficient conditions on the convergence and stability of the three-block descriptor Kalman filter, the relationship established herein allows us to derive necessary and sufficient conditions. In addition, several descriptor Kalman filtering problems can be treated as in the standard case.
Keywords:SINGULAR SYSTEMS