Showing math.OCShow all
2 papers · 1 filter
math.OC2015
Bridging a gap in Kalman filtering output estimation with correlated noises or with direct feed-through from process noise into measurements
Ameet S. Deshpande
Traditional statements of the celebrated Kalman filter algorithm focus on the estimation of state, but not the output. For any outputs, measured or auxiliary, it is usually assumed…
math.OC2009
Max-Plus Representation for the Fundamental Solution of the Time-Varying Differential Riccati Equation
Ameet Deshpande
Using the tools of optimal control, semiconvex duality and \maxp algebra, this work derives a unifying representation of the solution for the matrix differential Riccati equation (…