A Distributed Filter Derivation without Riccati Equations
Jon H. Davis · SIAM Journal on Control and Optimization · 1978
A Wiener–Hopf based solution of the stationary distributed Kalman–Bucy filtering problem is presented. We derive an explicit representation for the optimal filter gains, from which both optimality and stability of the resulting filter follow. The derivation is concise, and avoids entirely consideration of the distributed Riccati equation.