ALTERNATIVE SOLUTION OF DISCRETE-TIME KALMAN FILTER

被引：7

作者：

FURUTA, K ^{[1
]}

机构：

[1] TOKYO INST TECHNOL,DEPT CONTROL ENGN,MEGURO KU,TOKYO 152,JAPAN

来源：

SYSTEMS & CONTROL LETTERS | 1994年 / 22卷 / 06期

关键词：

KALMAN FILTER; DISCRETE-TIME SYSTEM; CLOSED-FORM SOLUTION OF THE RICCATI EQUATION; DERIVATION OF THE RICCATI EQUATION; TIME-SERIES ANALYSIS;

D O I：

10.1016/0167-6911(94)90086-8

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper concerns the closed-form solutions of the minimum variance and the optimal filter gain of the discrete-time Kalman filter. We directly construct the closed-form solution of Riccati equations and the optimal gain of the filter from the system parameters. The approach is based on the time-series treatment of the dual system of the stochastic systems. The closed-form solution of the minimum variance yields the Riccati equation.

引用

页码：429 / 435

页数：7

共 9 条

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[2] FURUTA K, IN PRESS SYSTEMS CON
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[8] SILVERMAN LM, 1976, CONTROL DYNAMIC SYST, V12, P313
[9] FROM TIME-SERIES TO LINEAR-SYSTEM .1. FINITE DIMENSIONAL LINEAR TIME-INVARIANT SYSTEMS
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