Title :
A note on the nature of optimality in the discrete Kalman filter
Author_Institution :
US Naval Post Graduate School, Monterey, CA, USA
fDate :
10/1/1970 12:00:00 AM
Abstract :
A derivation is presented in which it is shown that the optimal gain sequence of the discrete Kalman filter minimizes not only the trace of the estimation covariance matrix, but any linear combination of the main diagonal elements of that matrix.
Keywords :
Kalman filtering; Linear systems, time-invariant discrete-time; Covariance matrix; Differential equations; Gain measurement; Linear systems; Observability; Performance gain; Process control; State estimation; Time varying systems; Yield estimation;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1970.1099539
