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In this paper, we consider the task of designing a Kalman Filter (KF) for an unknown and partially observed autonomous linear time invariant system driven by process and sensor noise.
Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems
Siew Chan, GC Goodwin, and Kwai Sin · 1984
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A system level approach to controller synthesis
Yuh-Shyang Wang, Nikolai Matni, and John C Doyle · 1984
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Consistency and relative efficiency of subspace methods
Manfred Deistler, K Peternell, and Wolfgang Scherrer · 1995
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Consistency and asymptotic normality of some subspace algorithms for systems without observed inputs
Dietmar Bauer, Manfred Deistler, and Wolfgang Scherrer · 1999
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Thomas Kailath, Ali H Sayed, and Babak Hassibi · 2000
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Robust filtering for discrete-time systems with bounded noise and parametric uncertainty
Laurent El Ghaoui and Giuseppe Calafiore · 2001
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A framework for state-space estimation with uncertain models
Ali H Sayed et al · 2001
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Estimating cointegrated systems using subspace algorithms
Dietmar Bauer and Martin Wagner · 2002
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B.D.O. Anderson and J.B. Moore · 2005
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An overview of subspace identification
S Joe Qin · 2006
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Robust state space filtering under incremental model perturbations subject to a relative entropy tolerance
Bernard C Levy and Ramine Nikoukhah · 2012
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Subspace identification for linear systems: Theory–Implementation–Applications
Peter Van Overschee and Bart De Moor · 2012
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Localized distributed Kalman filters for large-scale systems
Yuh-Shyang Wang, Seungil You, and Nikolai Matni · 2015
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On the sample complexity of the linear quadratic regulator
Sarah Dean, Horia Mania, Nikolai Matni, Benjamin Recht, and Stephen Tu · 2017
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Regret bounds for robust adaptive control of the linear quadratic regulator
Learning Without Mixing: Towards A Sharp Analysis of Linear System Identification
Max Simchowitz, Horia Mania, Stephen Tu, Michael I Jordan, and Benjamin Recht · 2018
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System level synthesis
James Anderson, John C Doyle, Steven H Low, and Nikolai Matni · 2019
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On-line learning of linear dynamical systems: Exponential forgetting in Kalman filters
Mark Kozdoba, Jakub Marecek, Tigran Tchrakian, and Shie Mannor · 2019
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Bruce Lee and Andrew Lamperski · 2019
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Certainty equivalent control of LQR is efficient
Horia Mania, Stephen Tu, and Benjamin Recht · 2019
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Sarah Dean, Horia Mania, Nikolai Matni, Benjamin Recht, and Stephen Tu · 2018
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