Title :
General two-stage Kalman filters
Author :
Hsieh, Chien-Shu ; Chen, Fu-Chuang
Author_Institution :
Dept. of Electr. & Control Eng., Nat. Chiao Tung Univ., Hsinchu, Taiwan
fDate :
4/1/2000 12:00:00 AM
Abstract :
A general two-stage Kalman filter that is equivalent to, but numerically more efficient than, the standard single-stage Kalman filter is developed for general, time-varying, linear discrete-time systems. Analytical results defining the reduction in computational burdens are presented. Simulation results that validate the predicted efficiency improvements are shown as well
Keywords :
discrete time systems; filtering theory; linear systems; observers; time-varying systems; general time-varying linear discrete-time systems; general two-stage Kalman filters; reduced order estimators; reduced order observers; Computational modeling; Gaussian noise; Kalman filters; Noise measurement; Observers; Predictive models; Standards development; State estimation; Stochastic systems; Time varying systems;
Journal_Title :
Automatic Control, IEEE Transactions on
