On the Design of a Specific Kalman Filter with Identification of Noise Covariances
In the present paper a well-posed optimisation problem is formulated using a quadratic error index where incremental corrections ΔQ and ΔR are obtained at the end of each of progressive overlapping observation intervals. For each new obtained value of Q and R a new value for the steady-state optimum...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SAGE Publishing
1976-11-01
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| Series: | Measurement + Control |
| Online Access: | https://doi.org/10.1177/002029407600901104 |
| Summary: | In the present paper a well-posed optimisation problem is formulated using a quadratic error index where incremental corrections ΔQ and ΔR are obtained at the end of each of progressive overlapping observation intervals. For each new obtained value of Q and R a new value for the steady-state optimum Kalman filter gain is computed. At the end of the optimisation procedure a specific Kalman filter is obtained where the resulting constant gain is the correct steady-state optimum Kalman filter gain. When comparing the developed algorithm with an alternative one where the constant filter gain is computed directly without identifying the unknown noise covariances, the results show the sensitivity of the latter method to the initial guesses of the filter gain, a difficulty that is not existent in the present algorithm. |
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| ISSN: | 0020-2940 |