DocumentCode
1482654
Title
An alternate calculation of the discrete-time Kalman filter gain and Riccati equation solution
Author
Leland, Robert
Author_Institution
Dept. of Electr. Eng., Alabama Univ., Tuscaloosa, AL, USA
Volume
41
Issue
12
fYear
1996
fDate
12/1/1996 12:00:00 AM
Firstpage
1817
Lastpage
1819
Abstract
We describe an algorithm to calculate the steady-state Kalman filter gain and Riccati equation solution for a discrete-time Kalman filter. Our 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
Keywords
Kalman filters; Riccati equations; autoregressive processes; discrete time filters; eigenvalues and eigenfunctions; filtering theory; matrix algebra; stochastic systems; Riccati equation; autoregressive model; discrete time systems; discrete-time Kalman filter; eigenvectors; error covariance; linear equations; stochastic systems; Algorithm design and analysis; Calculus; Filters; Newton method; Nonlinear equations; Predictive models; Riccati equations; Steady-state; Stochastic processes; Stochastic systems;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.545748
Filename
545748
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