ON OPTIMAL LINEAR FILTERING IN THE PRESENCE OF CORRELATED MEASUREMENT NOISE,

Abstract

The problem of optimal linear filtering for discrete linear processes in which the measurement noise is correlated is reformulated as a linear filtering problem that involves uncorrelated noise. The latter problem is of higher dimension than the former, but it can be solved by standard techniques. The resulting optimal filter and estimation-error covariance equations are partitioned and placed in a form that is especially suited for digital computation. The result is that the effects of increased dimensionality on computer program complexity are minimized. (Author)

Document Details

Document Type
Technical Report
Publication Date
Aug 27, 1964
Accession Number
AD0447343

Entities

People

  • James S. Meditch

Organizations

  • The Aerospace Corporation

Tags

DTIC Thesaurus Topics

  • Computations
  • Computer Programs
  • Computers
  • Covariance
  • Equations
  • Filters
  • Filtration
  • Linear Filtering
  • Mathematical Analysis
  • Mathematical Filters
  • Mathematics
  • Measurement
  • Standards

Fields of Study

  • Engineering

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.