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Connection between continuous and discrete

Riccati equations with applications to Kalman
filtering

ARTICLE in CONTROL THEORY AND APPLICATIONS, IEE PROCEEDINGS D [SEE ALSO IEE PROCEEDINGS-CONTROL
THEORY AND APPLICATIONS] · FEBRUARY 1988
DOI: 10.1049/ip-d.1988.0004 · Source: IEEE Xplore

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Connection between continuous and discrete
Riccati equations with applications to Kalman
filtering
M. Salgado, BSc, MSc, DIC
R. Middleton, BSc, BE, PhD
Prof. G.C. Goodwin, BSc, BE, PhD
Indexing terms: Filters andfiltering, Algorithms, Matrix algebra, Mathematical techniques
Abstract: The aim of the paper is to explore the
relationship between the continuous-time Riccati
equation and the corresponding discrete-time
equation with fast sampling. The interconnection
is established by formulating the discrete case
using delta operators. The application of these
results to the Kalman filtering problem highlights
the importance of analogue prefiltering in the
sampling process. A secondary benefit arising
from the use of the delta operator is that
improved numerical behaviour is obtained for sol-
ution algorithms, compared with that obtainable
with the usual shift operator.
1 Introduction
The term ‘Riccati equation’ refers to a class of nonlinear
second-order matrix differential (continuous time
domain) or difference (discrete time domain) equations.
These equations arise in the solution of many problems
in systems theory.
A great deal of effort has been devoted to the study of
this class of equation, including existence and uniqueness
of solutions, properties of the solutions, methods for
solving the equations, and transient and steady-state
behaviour.
In this paper, we explore one specific issue relating to
Riccati equations; namely the connection between the
continuous equation and the corresponding discrete
equation with rapid sampling. This connection is made
particularly transparent by formulating the discrete case
using the delta operator. This operator is defined as
where q is the forward shift operator and A is the sam-
pling period. It is clear that the relationship between q
and 6 is a simple linear transformation, and, thus, the
delta operator offers the same flexibility in the descrip-
tion of discrete systems as does the shift operator.
However, the delta operator has the advantage that it
reveals the close connection between continuous results
Paper 5755D (C8), first received 24th September 1986 and in revised
form 6th March 1987
The authors are with the Department of Electrical & Computer Engin-
eering, University of Newcastle, NSW 2308, Australia
28
and the corresponding discrete results obtained with
rapid sampling. Moreover, it has recently been shown [l.
21 that the delta operator offers advantages, in terms of
numerical robustness, over the more usual shift operator,
in the context of linear estimation and control. We show,
in this paper, that these advantages carry over to the
nonlinear Riccati equation.
First-order differences, which resemble the delta oper-
ator, have been used by other authors (e.g. Reference 3)
as a way of approximating derivatives in the derivation
of the continuous-time Riccati equation. However, our
point of view is different in that we do not propose the
delta operator as an approximation, but, instead, suggest
that it is the preferred way of exactly implementing the
discrete Riccati equation. Our reasons for preferring the
Delta operator are that, as follows: (a) with rapid sam-
pling (relative to the system bandwidth), the delta oper-
ator offers greater insight into the discrete case, because
of the similarity of the discrete results to the correspon-
dent continuous case, and (b) the delta operator leads to
improved numerical properties compared with those
obtainable with the usual shift operator.
Some previous authors have addressed numerical and
computational issues relating to the general area of
Riccati equations. For example, results have been report-
ed [4, 5 , 61 on numerically stable algorithms for solving
algebraic Riccati equations. These results apply equally
well to the delta formulation and, in fact, are further
enhanced relative to the shift formulation.
In Reference 7, the roundoff noise due to state quanti-
sation is accounted for in the design of a fixed-point
finite-word-length steady-state Kalman filter.
In Reference 8, the problem of rounding errors, in the
digital implementation of Kalman filters, is addressed by
using a similarity transformation on the filter state equa-
tion. The result turns out to be equivalent to that
obtained by substituting the usual shift operator q by
q - 1. This is clearly related to the delta formulation.
Similar results on filter implementation are given in Ref-
erence 2, where the delta form is used explicitly.
However, References 2, 7 and 8 do not address, either the
connection between continuous and discrete Riccati
equations, or the comparative numerical properties of
these equations when implemented in delta or shift form.
The focus of our numerical studies will be on the inter-
nal computer accuracy, as distinct from errors introduced
by the A/D and D/A convertors. These latter errors are,
in any case, common to whatever internal computer rep-
resentation is used. Moreover, it has recently been shown
[7] that these errors can be modelled as additional noise
IEE PROCEEDINGS, Vol. I35, Pt. D , No. I , J A N U A R Y 1988
processes. Within this formulation, the question of how
to solve best the resulting Riccati equation remains.
A basic aim of this paper is to clarify the role of sam-
pling in the discrete Kalman filter. A fundamental diffi-
culty is that it is not sensible to directly sample
continuous-time Wiener processes. We show that these
difficulties are neatly resolved when the effect of analogue
prefiltering is included in the sampling process. This is
shown to unify the discrete and continuous Kalman filter
results.
Some previous authors [13, 161 have shown that, for
every continuous-time problem, there exists a hypotheti-
cal discrete-time system such that the solution for the
continuous Riccati equation is the same as that of the
corresponding discrete Riccati equation. For example, in
Reference 15, the discrete-time system is determined by a
bilinear transformation.
Here, however, we fix the underlying continuous-time
system and study the differences that exist between the
continuous-time problem and the discrete-time problem
arising from sampling of the original system. We also
explore the convergence of the discrete solution to the
continuous solution, as the sampling period A
approaches zero.
The layout of the paper is as follows: in Section 2, we
give a brief review of the continuous and discrete Kalman
filter, Section 3 examines the realtionship between the
continuous and discrete cases using the delta formula-
tion, and Section 4 addresses the numerical properties of
where P(t) satisfies the following continuous Riccati dif-
ferential equation (CRDE):
p(t) = P(t)AT + AP(t) - P ( t ) C T R - ' C P ( t )+ Q (8)
with P(0) = P o .
It is also known [12] that the transient and steady-
state solutions of this equation are related to the follow-
ing Hamiltonian matrix:
(9)
The eigenvalues of this matrix can be grouped into two
disjoint subsets A I and A2 such that if Aa E A1, there
exists Ab E A2 such that Ra = - A b ; hence we can choose
either AI or A2 to contain only the stable eigenvalues.
Subject to certain mild conditions [ll], the solutions
of the CRDE converge to a unique limiting solution.
From eqn. 8, this limiting solution must satisfy the fol-
lowing continuous algebraic Riccati equation (CARE) :
0 = PAT + A P - P C T R - ' C P + Q (10)
Many solution techniques exist for this equation, includ-
ing the Schur decomposition method [4]. In this method,
a Schur decomposition of the eigenspace of M , is made
such that, if
[;;I E R2"""

the delta form relative to the shift form in solving Riccati span the nth-order stable invariant subspace, then the
equations. stabilising solution for eqn. 10 is

2 The Kalman filter

Riccati equations arise in such problems as the linear
quadratic regulator and the Kalman filter. It is known
that these problems are duals of each other [ l o ] . We will,
therefore, use the Kalman filtering problem to present
our results, and invoke duality for the corresponding
optimal control results.
2.1 The continuous-time case
Consider a continuous-time, lumped, linear, time-
invariant stochastic system given by
dx = AX dt + do
dz = C x dt + dw with x(0) = xo
(3)
where x E R", z E R', A E R""", C E Rlxn, E [ x o ] = ?o,
Cov [ x o ] = P o ; u(t) E R" is a vector Wiener process with
incremental covariance Q d t ; w(t) E R' is a vector Wiener
process with incremental covariance R d t ; x(O), u(t) and
w(t) are independent; Q and Po are symmetric positive
semidefinite matrices; and R is a symmetric positive-
definite matrix.
The Kalman filter is a full-order state observer, which
minimises the following cost function:
P, = x21x;,' (1 1 )
This is a particular case of a more general approach [SI
based on a generalised Schur decomposition, which deals
with a pencil of the form RL - M , .
2.2 The discrete-time case
A key aspect of the discrete case is the specification of the
sampling process. For example, it makes no sense to
directly sample the output dzldt in eqn. 3, because this
would lead to a discrete system having output noise of
infinite variance ! This problem is resolved by replacing
the impractical ideal sampler by a practical form of sam-
(2) pling in which the signal is passed through an anti-
aliasing low-pass filter prior to sampling. We shall denote
the impulse response of this low-pass filter by h(z) and,
for simplicity, assume h(z) = 0, T 2 A.
Lemma 2.1: If the system of eqns. 2 and 3 is sampled at
interval A using a presampling filter of impulse response
h(z),then the sampled output response is described by the
following stationary discrete-time linear system
(expressed in the usual shift operator form):
x(k + 1) = A,x(k) + ~ , ( k ) (12)

J , = E{eT(t)W(t)e(t)} (4) y(k) = C,x(k) + w,(k) with x(0) = xo (13)

where W(t)E R" " is any positive-definite symmetric where
weighting matrix and e(t) is the estimation error: A, = +(kA + A, A ) = eAA (14)
e(t) = x(t) - 2(t) (5)
The solution to this problem is well known [ l o ] and is
C, = S_:h(kA +A - T)C+(T,kA) dT (15)
given by
d?(t) = A?(t) dt
H ( t ) = P(t)CTR-'
+ H(t)[dz(t)- C2(t)dt]
with ?(O) = To
(6)
(7)
COV{ u,} =
L +(A, z)Q+(A, T

COV{ w , } = R l ( A ) + RJA)
)

R,
dz~ 4 Q , (16)

(17)
I E E PROCEEDINGS, Vol. 135, Pt. D,N o . 1, J A N U A R Y 1988 29
with The corresponding steady state solution satisfies the
following discrete algebraic Riccati equation (DARE):
R,(t) 4 :m
j j:mh(t - z')R,(z' - 2") P, = Q, + A,P,A,T - [A,P,CJ + S,]
x h(t - T " ) ~d.r' dz" (18) x [ R , + C,P,C,']-'[C,P,A: + S]: (34)
Solution techniques for the DARE are very similar to
those described earlier for the CARE; particularly the
generalised Schur decomposition technique is also applic-
able to the discrete case [6] including cases where A , is
singular [6, 141. In particular, the following Hamiltonian
matrix arises in conjunction with these problems:

c o v (u,, w,) 4 E{u, w,'}

where A, = A , - S , Rq- ' C , and Q, = Q, - S, R; 'S:.
= [ jIm+(A,r)Q+(u, ?lTCT This matrix has analogous properties to those of
matrix M , defined in eqn. 9, i.e. the eigenvalues of M , can
x h(A - u ) T d u d z 4 S , be grouped into two disjoint subsets rl and r2,such
(21) that for every A, E rl there exists Ad E T2 such that
Proof: The output of the presampling filter for t 2 kA is A, . A,, = 1, again we can choose either rl or r2 to
contain only the stable eigenvalues.
To gain insight into the above results, we consider two
representative low-pass filters :
L P F I : An ideal low-pass filter with bandwidth equal
to the folding frequency 1/2A(Hz)
LPFZ: An 'average' signal obtained from a reset and
integrate circuit, specifically:

The corresponding impulse response, h(t) for LPF2, is

given by
1
h(t)=- O,<t,<A
A
=0 otherwise (37)
From eqn. 16, it can be seen that, for small A:
Q, = QA (38)
Also, for typical presampling filters (including LPFl and
LPF2), it is readily seen that for small A:
1
R,=-R (39)
A
c, = c (40)
s, = 0 (41)
Finally, the appropriate discrete-time system is given in However, these equations conceal the close connection
eqns. 12 and 13. that exists between the continuous and discrete equa-
tions. For example, as the sampling rate increases, we
The optimal discrete-time filter for the system of eqns. 12 obtain the following paradoxical results, which hold irre-
and 13 is then given by spective of the underlying continuous-time system :
lim Q, =0
+ +
R(k 1) = A,R(k) H,(k)[y(k) - C,R(k)] (31) A-0

+
H,(k) = [A,P(k)C: S,](C,P(k)C: + R J ' ; lim R , = co (43)
A-0
with R(0) = i o (32)
lim A , =I (44)
where P(k) satisfies the following discrete Riccati differ- A-0
ence equation (DRDE):
lirn H , =0 (45)
P,(k + 1) = Q, + A , P,(k)A,' - [ A , P,(k)C,' + S,] A-0

In the following Section, we show that these anomalies

x CR, + C, P,(k)C:I '[C, P,(k)A,' + S,']
- (33) are resolved in the discrete-time case if reformulated
with Pq(0) = P o . using the delta operator.
30 IEE PROCEEDINGS, Vol. 135, P t . D, N o . I , J A N U A R Y 1988
3 Relationship between the continuous and where
discrete cases
y(A) 4 AA,P(k)AI
Using the delta operator in eqn. 2 the discrete system
description of eqns. 12 and 13 becomes -AA,P,(k)C,T(AC,P,(k)C,T + Ra)-lCsP,(k)
6x(k) = Adx(k) V6(k) + (46)
+ RJ'C,Pa(k)A,T
-AP,(k)C,T(AC,P,(k)C,T
-A2A,P,(k)Cf(AC,P,(k)Cf + R,)-
Y(k) = C,x(k) + (47)
x C,Ps(k)A,T
where
-SdAC,P,(k)C,T + RJ1(C8Pa(k)
A, =
A
e,=c, x [AA, + 1IT + Sf)
-(CAAa + IIP,(k)C,T + S,)
and where
x (AaCdPa(k)C,T + R,)-'S,T
1 (60)
0, = u,, w, = w,.
Proof: Immediate on substituting eqns. 48 to 55 into
Hence eqns. 31 and 32.

1 We now have the following result connecting continuous

COV{u,) = - Q, (49) and discrete cases :
A2
COV{w,} = R, (50) Lemma 3.2: The quantities appearing in the delta form of
1
the discrete filter (eqn. 56) converge to the corresponding
cov (0, , w,} = - s, continuous quantities; i.e.
A
(i) lim A, =A
Substituting eqns. 38 and 39 into eqns. 49 and 50, we see A-0
that, for small A, (ii) lim C , = C
A-0
1 1
Cov {u,) N - Q and Cov {w,) N - R (52) (iii) lim H , =H
A A A-0

Hence, to achieve sampling rate 'independence', it is where H is as in eqn. 7.

natural to define Q , ,R , and S , as follows:
1 continuous variants, i.e.
Qa4 A COV{u,) = - Q,
A (iv) 6P,(k) = Q
R, 4 A COV(0,)
= AR,
S , 4 A COV{ v, , w,} = S ,
Remark 3.1: Note that Q , and R, (as defined above) are
actually the noise spectral densities, rather than the noise
variances! We shall see below that the solution of the
discrete filtering problem is more conveniently expressed
in terms of Q , and R,, rather than the noise variances.
Note that the continuous-time quantities Q and R are
also spectral densities and not variances. We then have
the following result:
Lemma 3.1: When expressed in terms of the delta oper-
ator, the optimal filter, of eqns. 31 and 32, has the form:
62(k + 1) = A,jZ(k) + H,(k)[y(k)- C,jZ(k)]
where
Also, the DRDE, the discrete Hamiltonian and the dis-
crete spectral densities converge to the corresponding
(53)
+ P,(k)AT + AP,(k)
(54) - P,(k)CTR-'CP,(k) + O(A) (64)
(55) (VI M , = M , + o(A) (65)
(vi) lim R, = R ; lim Q, = Q; lim S, =0 (66)
A-0 A-0 A-0
Proof: Immediate from eqns. 56 to 60.
Remark 3.2: The above result shows that the delta oper-
ator makes the connection between the continuous and
discrete cases particularly transparent, whereas these con-
nections are not obvious using the shift form. Also, note
that the analogue presample filter plays a key role in the
discrete-time case.
Remark 3.3: In the above analysis, we have used the delta
(56) operator to highlight the convergence of the discrete sol-
utions to the corresponding solution of the underlying
continuous-time problem. However, it should also be
noted that the delta formulation can be used as an exact
(57) description, for any discrete-time problem, irrespective of
whether it arises from sampling a continuous process or
not. In particular, if the shift domain eigenvalues of any
transition matrix approach 1, then, by recasting the
problem in delta form, one can benefit from intuitions
coming from the continuous case.

Remark 3.4: We have treated only the Kalman filtering

problem. However, the same results apply, mutatis
mutandis, to the linear quadratic regulator problem.
31
4 Numerical questions in the solution of the
Riccati equation
Owing to the inherent nonlinearity of the Riccati equa-
tion, it is very diffcuit, in general, to obtain a single
measure of numerical robustness [ 4 ] . Thus, we will con-
centrate on the comparison between shift and delta
implementations of the equations at fast sampling.
We assume that, in solving the Riccati equation, we
will not face either overflow or underflow problems, we
will be only concerned with the finite-word-length (FWL)
representation of numbers. Furthermore, we assume that
numbers are represented in a normalised floating point
format, i.e. the mantissa is always expressed as a number
between 0.5 and 1 . This means that, for a ( b - 1) bit man-
tissa, we will have a rounding error ranging between
- 2 - " and + 2 - " .
4.1 The discrete Riccati difference equation ( DRD E )
We shall consider the DRDE in two forms: shift operator
and delta operator. The key difference between these two
forms of the DRDE is the way in which the transition
matrix is expressed. There are changes in the other
matrices, but these amount to scaling by A, which do not
significantly affect the floating-point representation. We
shall thus concentrate on the merits, or otherwise, of
replacing A, by AA, + I in the solution of the DRDE.
We shall describe the floating-point implementation
matrix X = { x i j } (which can denote either A , or A,) as
[XlFP, where
CXIFP {xi](1 + & i j ) )
= (67)
We then have the following result :
the Jordan canonical form, then the comparison relies on
the errors in representing the diagonal terms of A , and
A , - I , which correspond to the eigenvalues in this case.
Clearly, whenever the eigenvalues of A , are closer to
unity than zero, then the eigenvalues are better represent-
ed in the delta form. Thus, whenever rapid sampling is
used, the delta form is irrefutably superior for the Jordan
structure. As an exampje of more general structures we
consider the following example:
Example 4.1 : Consider a system having transfer function
H(s) = l / { s ( s + l ) } with continuous state-space model in
companion form. The Riccati equation was solved using
5 mantissa bits to represent A , and A , . The following
constants were also used: R = 1 , Q = I , A = 0.075 and
Po = 1.
Fig. 1 shows the propagation of the relative error
defined as
(74)
ll
O O l L
," 0009
,o 0008
0007
0006

Lemma 4.1
0003(i , I I , I I , , I I
0 3 6 9 I2 15 I8 21 24 27 30
iteration number

where Fig. 1 Comparison oferrors for the dynamic Riccati equation (DRDE)
using delta (6) and shft (4) operators with A = 0.075
E = max I cij I G 2-"
i, j
where [P(I)]Fp and P([) denote the floating point and
and where 11. IIF denotes the Frobenius norm. 'infinite' precision solution of the Riccati equation, and
Proof: The result is immediate on noting that, from eqn.
11. ( I F denotes the Frobenius norm.
It can be seen from the Figure that the delta formula-
67, we have tion leads to a significant improvement in the relative
IICXIFP - XII, d max IEijI IlXllF (71) error in the computation of the DRDE.
i, j

To compare the results in lemma 4.1, we will use the 4.2 The algebraic Riccati equation
spectral radius as a lower bound for the norm of A, and Most methods for solving the algebraic Riccati equation
A , because the spectral radius is less than or equal to any (ARE) start from the Hamiltonian matrix. We will use the
consistent norm [ 1 7 ] ; i.e. well known [13] solution method based on eigenvectors.
For simplicity, we will assume that the eigenvalues of the
L, B / E~ ~ [ A ,=] E
=EI/A,~ max I e"lAI (72) Hamiltonian matrices are distinct.
I
Let us assume that M E R2" is a Hamiltonian matrix
L, = E A J I A ,2
~ JE~A ~ C A ,=
] E max le"" - 1 1 (73) with different eigenvalues; then there exists a nonsingular
I
matrix X such that
where p [ . ] denotes spectral radius and { o i } denotes the
eigenvalues of the continuous time 'A' matrix.
(75)
For fast sampling (relative to the time constants of the
system), we have I eUiAI N 1 for i = 1 , . . . , n. In which case, where A , , A 2 E R" are diagonal matrices and where AI
the lower bound on L, given in eqn. 7 2 is much greater contains only the stable eigenvalues.
than the lower bound on L , given in eqn. 73. Inspection
of eqns. 68 and 69 then suggests that the delta form leads If
to a smaller error than the shift form. To be more precise
about this comparison, we need to consider specific struc-
tures for the matrices A , and A , . For example, if we use LA21 I "22A

32 IEE PROCEEDINGS, Vol. 135, Pt. D, No. I , J A N U A R Y 1988

then For fast sampling, we have
p(M,) N max I1
I
+&A/ (87)

P(MA max I Pi A I (88)

will span the stable subspace, and the stabilising solution L

for the ARE can be evaluated as P = X21X;t. where {pi} denotes the eigenvalues of M, .
Clearly, the sensitivity of the solution method depends Thus, for fast sampling (relative to the time constants
on the sensitivity of the eigenvectors. To carry out the of M, which are the regulator or filter time constants),
analysis, we will use the perturbation method proposed IpiAI 6 1 and, hence, the lower bound on U , given in
in Reference 17. inequality 85 is much greater than the lower bound in U ,
We consider a model for the perturbations as in eqn. given in inequality 86. This suggests that the delta form
67. This leads to leads to smaller error than does the shift form. As for the
(76) DRDE, the result can be made more explicitly if specific
canonical forms are used for the matrices.
(77)
where [M,IP and [MalP denote the perturbed matrices Remark 4.1 : An alternative expression for the perturbed
and eigenvector is given in [l8] as
/IEqIIF d &IIMqllF (78) 2n yTExi
/lEbllF EIIMdllF (79)
CxiIP = xi + j = 1 (Ai - A,)yTxj xj + qE2) (89)

To state the main result of this Section, we need the fol-
lowing preliminary result :
Result 4.1: Hamiltonian matrices M, and M, have the
same eigenvectors.
Proof: Immediate from the definition of the matrices.
where E E F : is the perturbation matrix (E, or E,) with
llFl12= 1, yj: left eigenvector associated with A j , W E 2 ) :
residual of a Taylor expansion around E = 0.
By neglecting W E 2 ) , we obtain

We then have the following result:

where K is a positive constant, which is the same for
Lemma 4.2. delta and shift forms. 52 is as defined in eqn. 83.
Comparing eqn. 90 with eqns. 80 and 81, we see that
the same conclusion applies. The above analysis is illus-
trated in the following example:

Example 4.2: Consider the same system as in example 4.1

where { x i ) denotes the eigenvectors of M, and M,, and
{[xi,]p} and {[xiJP} denote the perturbed eigenvectors of
Mq and M a , respectively.
0, and Q, denote a lower bound on the minimum dis-
tance between the ith eigenvalue and any other eigen-
value for M, and M, , respectively.
with the following parameters:
R = - =I
1, 0
The steady-state solution of the Riccati equation was
found Using the eigenvector method for two different
sampling periods; A = 0.075 and A = 0.05 and for man-
tissa lengths ranging from 5 to 24 bits. Fig. 2 compares

Proof: From Reference 17, we have that

/Ixi - {xi)P112
d (82)
n
where ci is the two norm of the perturbation matrix and
SZ < min { \ A i SI} - j = 1, 2, ..., 2n (83)
I
j;ti

The result then follows on using eqns. 78 and 79, and on

noting that [ 171
11 . 11 2 11 .11 F (84)
To compare the results in eqns. 80 and 81, we will use the L
spectral radius as in Section 4.1. We note that mantissa bits
Fig. 2 Comparison oferrors for the algebraic Riccati equation (ARE)
using delta ( 6 )and shft (4) operators with A = 0.075

u, 2 &AP(M,)~ (86) the relative error between Delta and shift for A = 0.075,
0, while Fig. 3 gives the corresponding results for A = 0.05.
where we have used the fact that R, = R,/A, as 1, = AA, It is clear from the Figures that the delta performance is
+1. better.
IEE PROCEEDINGS, Vol. 135, P t . D, No. I , J A N U A R Y 1988 33
 ~ ~

IO h 7 References
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control’. Plennary address, 7th IFAC symposium on identification
and system parameter estimation, York, 1985
2 MIDDLETON, R.H., and GOODWIN, G.C.: ‘Improved finite
wordlength characteristics in digital control using delta operators’,
IEEE Trans., 1986, AC-31, (ll), pp. 101S1021
3 GELB, A.: ‘Applied optimal estimation’ (TASC, 1974)
4 ARNOLD, W., and LAUB, A.J.: ‘Generalized eigenproblem algo-
rithms and software for algebraic Riccati equations’, Proc. IEEE,
1984,72, (12), pp. 17461754
5 VAN DOOREN, P.: ‘A generalized eigenvalue approach for solving
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pp. 121-135
6 PAPPAS, T., LAUB, A., and SANDELL, N.R.: ‘On the numerical
4 6 8 IO 12 1A 16 18 20 22 24 solution of the discrete-time algebraic Riccati equation’, IEEE
mantissa bits Trans., 1980, AC-25, (4), pp. 631441
7 WILLIAMSON, D.: ‘Finite wordlength design of digital Kalman
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1

9 SAGE, A.P.: ‘Optimum systems control’ (Prentice Hall, 1968)

5 Conclusions
This paper has shown that the connection between con-
tinuous and discrete Riccati equations becomes clear if
the discrete case is formulated using delta operators.
Also, the role of analogue prefiltering in the sampling
process has been clarified for the Kalman filter. Finally,
the delta operator has been shown to lead to more robust
numerical properties compared with the usual shift form
for rapid sampling.
6 Acknowledgment
The authors acknowledge the support received from the
Australian Research Grants Scheme under Program
Grant A48415 15P.
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34 IEE PROCEEDINGS, Vol. 135, Pt. D, No. 1, J A N U A R Y 1988