16.322 Stochastic Estimation and Control, Fall 2004 Prof vander Velde 4)Under the conditions of (3), the steady state filter minimizes limE(n) Me(n) for every M>0. This value is [P2M] 5) Po is positive definite if and only if(A, B)is complete controllable 6)If(A, H)is observable, steady state P is positive definite Page 9 of 916.322 Stochastic Estimation and Control, Fall 2004 Prof. Vander Velde Page 9 of 9 4) Under the conditions of (3), the steady state filter minimizes lim ( ) ( ) T t E e t Me t →∞ ⎡ ⎤ ⎣ ⎦ for every M > 0 . This value is tr[P M∞ ] 5) P∞ is positive definite if and only if ( A B, ) is complete controllable. 6) If ( ) A, H is observable, steady state P is positive definite