Title :
On the optimum colored noise Kalman filter
Author_Institution :
Dynamics Research Corp., Stoneham, MA, USA
fDate :
4/1/1969 12:00:00 AM
Abstract :
A set of equations is presented for designing an optimum Kalman filter for a continuous linear dynamic system with colored measurement noise only. Included are the optimum Kalman filter variance, gain, and mechanization equations in a form which can be computerized easily and requires a minimum of engineering effort.
Keywords :
Kalman filtering; Linear systems, time-invariant continuous-time; Colored noise; Covariance matrix; Design engineering; Equations; Filters; Noise measurement; State estimation; Time varying systems; Vectors; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1969.1099149
