Title :
Geometric illustration of the Kalman filter gain and covariance update algorithms
Author :
Kronhamn, Thomas R.
Author_Institution :
Ericsson Radio Systems, Mölndal, Sweden
fDate :
5/1/1985 12:00:00 AM
Abstract :
The Kalman filter gain and covariance update algorithms are illustrated geometrically for a low dimensional system. The illustrations give an intuitive understanding of the basic filtering process and advocate a more "natural" form of the covariance update algorithm.
Keywords :
Covariance functions; Kalman filtering, linear systems; Covariance matrix; Equations; Estimation error; Filtering algorithms; Gaussian noise; Kalman filters; Linear systems; State estimation; Stochastic processes;
Journal_Title :
Control Systems Magazine, IEEE
DOI :
10.1109/MCS.1985.1104937
