• DocumentCode
    802416
  • Title

    On the covariance of the steady-state filter predictor and smoother

  • Author

    Rome, H.

  • Author_Institution
    Dynamics Research Corporation, Wilmington, MA, USA
  • Volume
    15
  • Issue
    1
  • fYear
    1970
  • fDate
    2/1/1970 12:00:00 AM
  • Firstpage
    122
  • Lastpage
    123
  • Abstract
    The pertinent algorithms are developed for determining the steady-state covariance matrices associated with continuous measurement Kalman filtering, prediction, and smoothing of time-invariant systems. The formulas represent closed-form solutions to the problem as opposed to recursively derived asymptotic solutions. They can be used as a single unified set of algorithms.
  • Keywords
    Kalman filtering; Linear systems, time-invariant continuous-time; Colored noise; Covariance matrix; Filtering algorithms; Kalman filters; Noise measurement; Riccati equations; Smoothing methods; State estimation; Steady-state; White noise;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1970.1099377
  • Filename
    1099377
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=802416