Performance Degradation in Digitally Implemented Kalman Filters

A technique is presented for analyzing expected degradations in the performance of a fixed-point arithmetic implementation of a Kalman filter with precomputed gains. A quantitative approach is provided for comparing the relative degradations associated with different mechanizations of the same Kalman filter. The causes of divergence in digitally implemented filters are investigated. Finally, simulation studies are utilized to show how closely the analytical predictions agree with actual results.