Yes, this is for my research work in my school. It is urgent because I need to present my work soon.
Note that I know that the error-covariance for the backward filter is simply the solution of the steady-state Riccati equation used to obtain the backward Kalman filter. But, I need to use...
URGENT: Lyapunov Equation for backward continuous-time Kalman Filter
Hi,
Consider a continuous Kalman filter running backward in time as desired in a "two-filter" smoother. What would be the form of Lyapunov equation for this backward-time filter?
Given a system: dx/dt = Fx + Gv, and...