An exact solution of the time-invariant discrete Kalman filter
Sophocles J. Orfanidis · IEEE Transactions on Automatic Control · 1982
An exact solution is presented of the matrix Riccati difference equation associated with a time-invariant discrete Kalman filter. The time-varying solution is expressed by means of the corresponding steady-state algebraic solution. An exact solution of the closed-loop transition matrix is also presented.