Recursive solutions of the discrete time Riccati equation
Nicholas Assimakis, S. Roulis, DEMETRIOS G. LAINIOTIS · Neural, Parallel & Scientific Computations archive · 2003
In this paper recursive algorithms for solving the discrete time Riccati equation are developed for the cases where no measurement is exact or the plant noise covariance matrix is positive definite or the transition matrix is nonsingular. It is pointed out that the faster algorithm can be determined from the state and measurement vector dimensions.