ON RELATIVE PERFORMANCE OF KALMAN AND WIENER FILTERS

被引：13

作者：

SINGER, RA

FROST, PA

机构：

[1] Hughes Aircraft Company, Fullerton, Calif.

[2] Department of Electrical Engineering, Stanford University, Stanford, Calif.

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1969年 / AC14卷 / 04期

关键词：

D O I：

10.1109/TAC.1969.1099197

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Upper and lower bounds on the error covariance matrices of the Kalman and Wiener filters for linear finite state time-invariant system are derived. These bounds yield a measure of the relaitive estimation accuracy of these filters and provide a practical tool for determining when the implementational complexity of a Kalman filter can be justified. The calculation of these bounds requires little more than the determination of the corresponding Wiener filter. Copyright © 1969 by The Institute of Electrical and Electronics Engineers, Inc.

引用

页码：390 / &

共 13 条

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[2]

BELLMAN R, 1960, INTRODUCTION MATRIX

[3]

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[4]

ISAACSON E, 1966, ANALYSIS NUMERICAL M, P10

[5]

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[6]

Kalman R.E., 1963, J SOC IND APPL MAT A, VA 1, P152, DOI [10.1137/0301010, DOI 10.1137/0301010]

[7]

Kalman R.E., 1960, J BASIC ENG-T ASME, V82, P35, DOI DOI 10.1115/1.3662552

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SIAM JOURNAL ON APPLIED MATHEMATICS, 1966, 14 (03) :496-&

[9]

SINGER RA, 1968, TR63028 STANF U TECH

[10]

SORENSON HW, 1967, IEEE T AUTOMAT CONTR, VAC12, P557

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