Title :
Degradation of linear filter performance due to modeling error
Author :
Huddle, James R. ; Wismer, David A.
Author_Institution :
Litton Guidance & Control Systems, Woodland Hills, CA, USA
fDate :
8/1/1968 12:00:00 AM
Abstract :
Differential equations for determining the dynamic and steady-state effects of a particular class of disturbances on the error in the estimate of the state vector of a stochastic linear dynamic system are obtained. For the problem of evaluating near optimal filter performance, the technique permits the performance degradation due to the deletion of certain state vector components in the design of a Kalman filter to be obtained.
Keywords :
Linear systems, stochastic continuous-time; Optimal control; Additive noise; Covariance matrix; Degradation; Differential equations; Mathematical model; Nonlinear filters; State estimation; Steady-state; Stochastic systems; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1968.1098934
