An extended Kalman filtering approach with a criterion to set its tuning parameters; application to a catalytic reactor

In this work, the problem of tuning Kalman filters is addressed. Such tunin g usually consists of finding the values of the model and measurements cova riance matrices by trial and error methods till satisfactory results have b een obtained. Here, we propose a new method to endow the model covariance m atrix with physical meaning, enabling a more systematic gain tuning procedu re. Simulation examples for a simulated non-isothermal continuous reactor a nd for an experimental reactor where carbon monoxide oxidation takes place are presented. (C) 2000 Elsevier Science Ltd. All rights reserved.