Title :
Closed-form solution for the Kalman filter gains of time-varying systems
Author_Institution :
Haifa, Israel
fDate :
4/1/1998 12:00:00 AM
Abstract :
A method for derivation of closed-form solutions for the differential Riccati matrix equation for specific time-varying systems is presented. It allows more insight into the nature of the solution. It reduces the on-line computation requirements, since it does not require on-line solution of a differential equation. Sufficient conditions for the existence of the closed-form solution are given. The method is applied to a target tracking problem
Keywords :
Kalman filters; computational complexity; differential equations; estimation theory; matrix algebra; target tracking; time-varying systems; Kalman filter gains; closed-form solution; differential equation; online; sufficient conditions; target tracking; time-varying systems; Closed-form solution; Differential algebraic equations; Differential equations; Optimal control; Riccati equations; Steady-state; Stochastic processes; Sufficient conditions; Target tracking; Time varying systems;
Journal_Title :
Aerospace and Electronic Systems, IEEE Transactions on
