Generalized Chandrasekhar algorithms for distributed-parameter filtering problem with pointwise coloured measurement noise

This paper presents a computationally advantageous approach to the solution of Riccati-typc partial differential equation in the filtering problem for linear distributed-parameter systems with coloured measurement noise. The generalized distributed-type Chandrasekhar algorithms that are derived are applicable to time-varying systems as well as time-invariant ones. It is shown that these algorithms are given in terms of the generalized observability and controllability matrices (or operators) for distributed-parameter systems with pointwise observation.