• DocumentCode
    804147
  • Title

    A note on the nature of optimality in the discrete Kalman filter

  • Author

    Demetry, J.

  • Author_Institution
    US Naval Post Graduate School, Monterey, CA, USA
  • Volume
    15
  • Issue
    5
  • fYear
    1970
  • fDate
    10/1/1970 12:00:00 AM
  • Firstpage
    603
  • Lastpage
    604
  • Abstract
    A derivation is presented in which it is shown that the optimal gain sequence of the discrete Kalman filter minimizes not only the trace of the estimation covariance matrix, but any linear combination of the main diagonal elements of that matrix.
  • Keywords
    Kalman filtering; Linear systems, time-invariant discrete-time; Covariance matrix; Differential equations; Gain measurement; Linear systems; Observability; Performance gain; Process control; State estimation; Time varying systems; Yield estimation;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1970.1099539
  • Filename
    1099539
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=804147