Title :
Kalman filtering with state equality constraints
Author :
Simon, Dan ; Chia, Tien Li
Author_Institution :
Dept. of Electr. & Comput. Eng., Cleveland State Univ., OH, USA
fDate :
1/1/2002 12:00:00 AM
Abstract :
Kalman filters are commonly used to estimate the states of a dynamic system. However, in the application of Kalman filters there is often known model or signal information that is either ignored or dealt with heuristically. For instance, constraints on state values (which may be based on physical considerations) are often neglected because they do not fit easily into the structure of the Kalman filter. A rigorous analytic method of incorporating state equality constraints in the Kalman filter is developed. The constraints may be time varying. At each time step the unconstrained Kalman filter solution is projected onto the state constraint surface. This significantly improves the prediction accuracy of the filter. The use of this algorithm is demonstrated on a simple nonlinear vehicle tracking problem
Keywords :
Kalman filters; filtering theory; least mean squares methods; maximum likelihood estimation; prediction theory; state estimation; tracking filters; Kalman filtering; maximum probability method; mean square minimization; nonlinear filtering; nonlinear vehicle tracking problem; prediction accuracy; state equality constraints; state estimation; time varying constraints; unconstrained filter solution; Covariance matrix; Electronic mail; Equations; Filtering; Gain measurement; Kalman filters; Noise measurement; State estimation; Surface fitting; Vehicle dynamics;
Journal_Title :
Aerospace and Electronic Systems, IEEE Transactions on