Rapid filters for continuous state-space sensory data acquisition

Describes a method for high speed input (and state) estimation in continuous state space models, given only discretely sampled output data. The state-space models are considered to describe either single-input/single-output, or more complex multi-input/multi-output (MIMO) sensors operating in continuous time. A full derivation of the algorithms is given, and the performance of such algorithms is discussed in terms of algorithm stability and speed of convergence under initialisation error. It is finally shown how the convergence of the algorithms may be accelerated by considering a slight variation on the conventional state-space equations