A comparative study of discrete time filtering for a non-stationary random input
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Authors
Fletcher, Harold Grove, Jr.
Subjects
Advisors
Parker, Sydney R.
Date of Issue
1967-12
Date
December 1967
Publisher
Monterey, California. U.S. Naval Postgraduate School
Language
en_US
Abstract
This thesis is concerned with a comparative study of discrete time filters using the theories of Wiener-Kolmogorov, Bode-Shannon, and Kalman, applied to the filtering of a non-stationary random signal to the presence of measurement noise. Programs are developed for the simulation of these systems and signals on a digital computer. Their filtering properties are compared for a random input signal with known steady state characteristics, starting at initial time t = to. The results show that when the gain of the Kalman filter is equal to its steady state value, the Kalman and Wiener-Kolmogorov filters perform identically. For large initial errors the Kalman filter, with large initial gain, gives the best transient response; for small initial errors the Kalman and Wiener-Kolmogorov filters are essentially equivalent in their transient responses.
Type
Thesis
Description
Series/Report No
Department
Department of Electrical Engineering
Organization
Naval Postgraduate School
Identifiers
NPS Report Number
Sponsors
Funder
Format
Citation
Distribution Statement
Approved for public release; distribution is unlimited.
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.