Discrete Time Riccati Equation Recursive Multiple Steps Solutions
Nicholas Assimakis · 2009
Recursive per multiple steps algorithms for solving the discrete time Riccati and Lyapunov equations emanating from Kalman and Lainiotis filter are developed, for the case where the plant and measurement noise covariance are positive definite matrices. The resulting algorithms preserve the structure of the corresponding recursive per step algorithms and are faster than them, especially for high desired accuracy.