Title :
An approximation of the Kalman filter equations
Author_Institution :
Sentinel System Command, Redstone Arsenal, AL, USA
fDate :
8/1/1968 12:00:00 AM
Abstract :
This correspondence presents the results of the application of the matrix inversion lemma to the Kalman filter equation. This operation eliminates the inversion process in the Kalman filter and enables one to sequentially compute the optimum estimate of the state without the use of the inversion process.
Keywords :
Kalman filtering; Matrix inversion; Covariance matrix; Eigenvalues and eigenfunctions; Equations; Filtering; Kalman filters; Sampling methods; Symmetric matrices; Tensile stress; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1968.1098931
