Title :
An alternate calculation of the discrete-time Kalman filter gain and Riccati equation solution
Author_Institution :
Dept. of Electr. Eng., Alabama Univ., Tuscaloosa, AL, USA
fDate :
12/1/1996 12:00:00 AM
Abstract :
We describe an algorithm to calculate the steady-state Kalman filter gain and Riccati equation solution for a discrete-time Kalman filter. Our algorithm makes use of an approximate autoregressive model for the one-step predictor and only requires the solutions to linear equations. All of the nonlinear calculations can be made explicitly
Keywords :
Kalman filters; Riccati equations; autoregressive processes; discrete time filters; eigenvalues and eigenfunctions; filtering theory; matrix algebra; stochastic systems; Riccati equation; autoregressive model; discrete time systems; discrete-time Kalman filter; eigenvectors; error covariance; linear equations; stochastic systems; Algorithm design and analysis; Calculus; Filters; Newton method; Nonlinear equations; Predictive models; Riccati equations; Steady-state; Stochastic processes; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
