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- W2383941570 abstract "For finite horizon H ∞ filtering problem, the Riccati equation is a nonlinear matrix differential equation and the filtering equation is a linear time variant one. Furthermore, the existence of the solution to the Riccati equation depends on γ -2 . So it is not very easy to solve these equations by general numerical algorithm. According to the analogy between structural mechanics and optimal control, the critical parameter γ -2 cr corresponds to the fundamental eigenvalue of a generalized Rayleigh quotient. Therefore, the precise integration method can be employed to solve the Riccati differential equation and to compute γ -2 cr with the extended Wittrick Williams (W W) algorithm. The numerical solution to the filtering equation can also be obtained by the precise integration method, although it is a time variant differential equation." @default.
- W2383941570 created "2016-06-24" @default.
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- W2383941570 date "2002-01-01" @default.
- W2383941570 modified "2023-09-25" @default.
- W2383941570 title "PRECISE INTEGRATION METHOD FOR NUMERICAL SOLUTION TO H_∞ FILTERING PROBLEM" @default.
- W2383941570 hasPublicationYear "2002" @default.
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