A KALMAN FILTER ALGORITHM USING A MOVING WINDOW WITH APPLICATIONS

Authors
Citation
Zo. Wang et Jp. Zhang, A KALMAN FILTER ALGORITHM USING A MOVING WINDOW WITH APPLICATIONS, International Journal of Systems Science, 26(8), 1995, pp. 1465-1478
Citations number
7
Categorie Soggetti
System Science","Computer Science Theory & Methods","Operatione Research & Management Science
ISSN journal
00207721
Volume
26
Issue
8
Year of publication
1995
Pages
1465 - 1478
Database
ISI
SICI code
0020-7721(1995)26:8<1465:AKFAUA>2.0.ZU;2-R
Abstract
One of the conditions of using a Kalman filter is to have a precise mo del. If the precise model does not exist, the precision of the filter will not be guaranteed, and the filter may even diverge. Unfortunately , it is difficult to obtain a precise model. Usually the model is obta ined through estimation, therefore due to the accuracy of this estimat ion, there always exists a difference between the estimated model and the precise model. In order to prevent the filter from divergence and enhance the precision of the tilter, a Kalman filter algorithm using a moving window (KFMW) is derived, and some applications of the KFMW ar e given in this paper.