@inproceedings{c5a3832ca3854637bce1b629b61f2b14,
title = "A Frequency-Domain Characterization of Optimal Error Covariance for the Kalman-Bucy Filter",
abstract = "In this paper, we discover that the trace of the division of the optimal output estimation error covariance over the noise covariance attained by the Kalman-Bucy filter can be explicitly expressed in terms of the plant dynamics and noise statistics in a frequency-domain integral characterization. Towards this end, we examine the algebraic Riccati equation associated with Kalman-Bucy filtering using analytic function theory and relate it to the Bode integral. Our approach features an alternative, frequency-domain framework for analyzing algebraic Riccati equations and reduces to various existing related results.",
keywords = "NETWORKED FEEDBACK, TRADE-OFFS, INFORMATION, BODE, STABILIZATION, PERFORMANCE, LIMITATIONS, CHANNELS, RICCATI, SYSTEMS",
author = "Song Fang and Hideaki Ishii and Jie Chen and Johansson, {Karl Henrik}",
year = "2018",
month = dec,
doi = "10.1109/CDC.2018.8619084",
language = "English",
isbn = "9781538613955",
series = "Proceedings of the IEEE Conference on Decision and Control",
publisher = "IEEE",
pages = "6366--6371",
booktitle = "2018 IEEE Conference on Decision and Control (CDC)",
address = "United States",
note = "57th IEEE Conference on Decision and Control (CDC 2018) ; Conference date: 17-12-2018 Through 19-12-2018",
}