ON THE IMPLEMENTATION OF REDUCED SUB-OPTIMAL KALMAN FILTERS, FOR DISCRETE, LINEAR, STOCHASTIC PROCESSES WITH TIME-INVARIANT DYNAMICS.

Abstract

Three different approaches to the problem of implementing a reduced-order, sub-optimal Kalman filter for a discrete, linear stochastic process, with time-invariant dynamics, are presented. A first method, A, is based upon the partitioning of the system dynamics. A second method, B, is implemented using matrix pseudo-inversion and a third method, C, is based upon reduction of the original process to one of lower order using the dominant roots of the system. An expression for the performance degradation in method A is derived. In method B, expression for the sub-optimal estimation error, and sub-optimal variance of estimation error are derived. The several methods are applied to a fourth-order process for illustration. (Author)

Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1969
Accession Number
AD0706725

Entities

People

  • Jaun Francisco Lara

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Degradation
  • Dynamics
  • Filters
  • Inversion
  • Kalman Filters
  • Mathematics
  • Stochastic Processes

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.