Periodic Chandrasekhar recursions

Details Periodic Chandrasekhar recursions Periodic Chandrasekhar recursions

2007-11-24

arxiv.org/abs/0711.3857v1

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This paper extends the Chandrasekhar-type recursions due to Morf, Sidhu, and Kailath "Some new algorithms for recursive estimation in constant, linear, discrete-time systems, IEEE Trans. Autom. Control 19 (1974) 315-323" to the case of periodic time-varying state-space models. We show that the S-lagged increments of the one-step prediction error covariance satisfy certain recursions from which we derive some algorithms for linear least squares estimation for periodic state-space models. The proposed recursions may have potential computational advantages over the Kalman Filter and, in particular, the periodic Riccati difference equation.

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