Title :
New direct method for Kalman-Bucy filtering system with arbitrary initial condition
Author :
Yau, Stephen S T ; Yau, S.T.
Author_Institution :
Control & Inf. Lab., Illinois Univ., Chicago, IL, USA
Abstract :
The purpose of this paper is to introduce a new direct method for Kalman-Bucy filtering systems. The advantage of the authors´ approach is that it is very easy and they no longer need maximal rank condition in their derivation, so the authors´ algorithm is universal for any linear system. Furthermore, the authors eliminate the necessity of solving several first order linear partial differential equations
Keywords :
Kalman filters; filtering theory; nonlinear filters; Kalman-Bucy filtering system; direct method; linear system; Algebra; Differential algebraic equations; Differential equations; Filtering; Kalman filters; Laboratories; Linear systems; Nonlinear equations; Partial differential equations; Stochastic processes;
Conference_Titel :
Decision and Control, 1994., Proceedings of the 33rd IEEE Conference on
Conference_Location :
Lake Buena Vista, FL
Print_ISBN :
0-7803-1968-0
DOI :
10.1109/CDC.1994.411164
