ESTIMATION OF KALMAN FILTER GAIN FROM OUTPUT RESIDUALS

This paper presents a procedure to estimate the Kalman filter gain fro m input-output measurement data with a given system model. The system model can be a finite element model or an experimental model from any identification method. The procedure consists of three basic steps. Fi rst, the stochastic portion related to the residuals of the response i s computed. Second, the coefficients of a linear difference model for the stochastic portion are estimated by a least-squares solution that minimizes the filter residual. Third, the Kalman filter gain is comput ed from these model coefficients. Experimental results are presented t o illustrate the usefulness of the developed procedure.