IEEE Transactions on Automatic Control, Vol.42, No.4, 573-578, 1997
Convergence of the Dre Solution to the Are Strong Solution
In this paper, we use the boundary solutions to a linear matrix inequality (LMI) associated with Kalman filtering to investigate the convergence of the solution of a differential Riccati equation (DRE) to the so-called strong solution of an algebraic Riccati equation (ARE). We furthermore extend our results to Kalman filtering with indefinite input noise covariances.