Reduced order Kalman filter†
作者:
K. W. SIMON‡,
A. R. STUBBERUD,
期刊:
International Journal of Control
(Taylor Available online 1969)
卷期:
Volume 10,
issue 5
页码: 501-509
ISSN:0020-7179
年代: 1969
DOI:10.1080/00207176908905851
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The order of the Kalman filter equations for a wide class of aerospace navigation problems is reduced, yielding an optimal sequential linear filter with a substantial decrease in computer requirements. A theorem is proved generalizing the Kalman filter to handle step-wise correlated noise. An illustrative example is then presented in which computer computation time and storage requirements are reduced by more than half with negligible increase in programming complexity.
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