Optimal multistage Kalman estimators

Author

Chen, Fu-Chuang ; Hsieh, Chien-Shu

Author_Institution

Dept. of Electr. & Control Eng., Nat. Chiao Tung Univ., Hsinchu, Taiwan

Volume

45

Issue

11

fYear

2000

fDate

11/1/2000 12:00:00 AM

Firstpage

2182

Lastpage

2188

Abstract

An optimal multistage Kalman estimator (OMSKE) is proposed as a generalization of the optimal two-stage Kalman estimator for the reduction of the computational burden of the Kalman estimator (KE) for discrete-time linear time-varying systems with triangular transition matrices. This new filer is obtained by applying a multistage U-V transformation to decouple the covariances of the KE. It is shown analytically that the computational complexity of the OMSKE is less than that of the KE and is minimum when the system transition matrix has the maximum stage number.

Keywords

Kalman filters; computational complexity; discrete time systems; linear systems; matrix algebra; state estimation; computational complexity; discrete-time systems; linear time-varying systems; multistage Kalman estimator; state estimation; transition matrix; triangular transition matrices; Computational complexity; Computational efficiency; Covariance matrix; Kalman filters; State estimation; Stochastic processes; Stochastic systems; Sufficient conditions; Target tracking; Time varying systems;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.887678

Filename

887678