Title :
Analytical Steady-State Solution for a Continuous Time Kalman Filter
Author :
Ekstrand, Bertil
Author_Institution :
Saab-Scania Combitech AB
Abstract :
Analytical expressions are given for the steady-state solution to a continuous time Kalman filter for a two-state model where both states are measured. The solution is obtained by a limiting operation on the known solution for the corresponding discrete time case. The solution is visualized in two graphs. The filter transfer function is also given.
Keywords :
Continuous time systems; Covariance matrix; Equations; Estimation error; Filters; Position measurement; Steady-state; Time measurement; Velocity measurement; White noise;
Journal_Title :
Aerospace and Electronic Systems, IEEE Transactions on
DOI :
10.1109/TAES.1985.310658
