Title :
Optimal multistage Kalman estimators
Author :
Chen, Fu-Chuang ; Hsieh, Chien-Shu
Author_Institution :
Dept. of Electr. & Control Eng., Nat. Chiao Tung Univ., Hsinchu, Taiwan
fDate :
11/1/2000 12:00:00 AM
Abstract :
An optimal multistage Kalman estimator (OMSKE) is proposed as a generalization of the optimal two-stage Kalman estimator for the reduction of the computational burden of the Kalman estimator (KE) for discrete-time linear time-varying systems with triangular transition matrices. This new filer is obtained by applying a multistage U-V transformation to decouple the covariances of the KE. It is shown analytically that the computational complexity of the OMSKE is less than that of the KE and is minimum when the system transition matrix has the maximum stage number.
Keywords :
Kalman filters; computational complexity; discrete time systems; linear systems; matrix algebra; state estimation; computational complexity; discrete-time systems; linear time-varying systems; multistage Kalman estimator; state estimation; transition matrix; triangular transition matrices; Computational complexity; Computational efficiency; Covariance matrix; Kalman filters; State estimation; Stochastic processes; Stochastic systems; Sufficient conditions; Target tracking; Time varying systems;
Journal_Title :
Automatic Control, IEEE Transactions on
