Title :
Derivation of a suboptimal linear filter
Author_Institution :
Michigan State University, East Lansing, MI, USA
fDate :
6/1/1968 12:00:00 AM
Abstract :
A linear filter using sample extrapolation and averaging is derived and tested. Extensions to include correlated observation noise and incomplete measurement are discussed. The filter is easily implemented for low-order linear plants but is inferior to the Kalman filter for all but the simplest cases.
Keywords :
Filtering; Linear systems, time-varying continuous-time; Suboptimal control; Additive noise; Arithmetic; Equations; Extrapolation; Kalman filters; Noise measurement; Nonlinear filters; Random processes; State estimation; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1968.1098906
