An alternate calculation of the discrete-time Kalman filter gain and Riccati equation solution
R.P. Leland · IEEE Transactions on Automatic Control · 1996
We describe an algorithm to calculate the steady-state Kalman filter gain and Riccati equation solution for a discrete-time Kalman filter. Our algorithm makes use of an approximate autoregressive model for the one-step predictor and only requires the solutions to linear equations. All of the nonlinear calculations can be made explicitly.