AN ALTERNATE CALCULATION OF THE DISCRETE-TIME KALMAN FILTER GAIN AND RICCATI EQUATION SOLUTION

Authors
LELAND R
Citation
R. Leland, AN ALTERNATE CALCULATION OF THE DISCRETE-TIME KALMAN FILTER GAIN AND RICCATI EQUATION SOLUTION, IEEE transactions on automatic control, 41(12), 1996, pp. 1817-1819
Citations number
15
Categorie Soggetti
Controlo Theory & Cybernetics","Robotics & Automatic Control","Engineering, Eletrical & Electronic
Journal title
IEEE transactions on automatic control → ACNP
ISSN journal
00189286
Volume
41
Issue
12
Year of publication
1996
Pages
1817 - 1819
Database
ISI
SICI code
0018-9286(1996)41:12<1817:AACOTD>2.0.ZU;2-O
Abstract
We describe an algorithm to calculate the steady-state Kalman filter g ain and Riccati equation solution for a discrete-time Kalman filter, O ur algorithm makes use of an approximate autoregressive model for the one-step predictor and only requires the solutions to linear equations , All of the nonlinear calculations can be made explicitly.