CLOSED-FORM SOLUTION FOR THE KALMAN FILTER GAINS OF TIME-VARYING SYSTEMS

Authors
RUSNAK I
Citation
I. Rusnak, CLOSED-FORM SOLUTION FOR THE KALMAN FILTER GAINS OF TIME-VARYING SYSTEMS, IEEE transactions on aerospace and electronic systems, 34(2), 1998, pp. 635-639
Citations number
11
Categorie Soggetti
Aerospace Engineering & Tecnology","Engineering, Eletrical & Electronic
Journal title
IEEE transactions on aerospace and electronic systems → ACNP
ISSN journal
00189251
Volume
34
Issue
2
Year of publication
1998
Pages
635 - 639
Database
ISI
SICI code
0018-9251(1998)34:2<635:CSFTKF>2.0.ZU;2-6
Abstract
A method for derivation of closed-form solutions for the differential Riccati matrix equation for specific time-varying systems is presented . It allows more insight into the nature of the solution. It reduces t he on-line computation requirements, since it does not require on-line solution of a differential equation. Sufficient conditions for the ex istence of the closed-form solution are given. The method is applied t o a target tracking problem.