Implicit Kalman filtering.

@article{Skliar1997ImplicitKF,
  title={Implicit Kalman filtering.},
  author={Mikhail Skliar and W. Fred Ramirez},
  journal={International journal of control},
  year={1997},
  volume={66 3},
  pages={393-412}
}
For an implicitly defined discrete system, a new algorithm for Kalman filtering is developed and an efficient numerical implementation scheme is proposed. Unlike the traditional explicit approach, the implicit filter can be readily applied to ill-conditioned systems and allows for generalization to descriptor systems. The implementation of the implicit filter depends on the solution of the congruence matrix equation (A1)(Px)(AT1) = Py. We develop a general iterative method for the solution of… CONTINUE READING

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