Title :
Closed form solution for time-varying Kalman filter
Author :
Rusnak, Ilan ; Attal, Monique
Author_Institution :
RAFAEL, Haifa, Israel
Abstract :
A method for derivation of closed-form solution for the Differential Riccati Matrix Equation for specific time-varying systems is presented. It allows more insight into the nature of the solution, and reduces the on-line computation requirements, since it does not require an 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 application. The analytical results are verified with numerical results.
Keywords :
Kalman filters; Riccati equations; filtering theory; nonlinear differential equations; target tracking; time-varying filters; tracking filters; closed form solution; differential Riccati matrix equation; on-line computation requirements; target tracking application; time-varying Kalman filter; Closed-form solution; Covariance matrix; Differential algebraic equations; Differential equations; Optimal control; Riccati equations; Steady-state; Stochastic processes; Target tracking; Time varying systems;
Conference_Titel :
Electrical and Electronics Engineers in Israel, 1995., Eighteenth Convention of
Conference_Location :
Tel Aviv, Israel
Print_ISBN :
0-7803-2498-6
DOI :
10.1109/EEIS.1995.513824
