Title :
Improved understanding of the loss-of-symmetry phenomenon in the conventional Kalman filter
Author_Institution :
Dept. of Electr. Eng., Delft Univ. of Technol., Netherlands
fDate :
3/1/1989 12:00:00 AM
Abstract :
An unclear treatment is corrected of the conventional Kalman filter implementation as presented by M. H. Verhaegen and P. van Dooren (1986). It shows that the habitual implementation of the Kalman filter makes it extremely sensitive to the so-called loss-of-symmetry phenomenon. Furthermore, it is also demonstrated that an exact implementation of the conventional Kalman filter removes this sensitivity
Keywords :
Kalman filters; filtering and prediction theory; Kalman filter; Verhaegen; error propagation; loss-of-symmetry; signal processing; van Dooren; Adaptive estimation; Adaptive filters; Adaptive signal processing; Automatic control; Computational complexity; Control systems; Error analysis; Kalman filters; Silicon compounds; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
