On the implementation of reduced, sub-optimal Kalman filters, for discrete, linear, stochastic processes with time-invariant dynamics.
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Authors
Lara, Juan Francisco
Subjects
reduced Kalman filter
sub-optimal Kalman filter
reduced estimation of stochastic processes
sub-optimal Kalman filter
reduced estimation of stochastic processes
Advisors
Demetry, James S.
Date of Issue
1969-12
Date
December 1969
Publisher
Monterey, California. Naval Postgraduate School
Language
en_US
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, expressions 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.
Type
Thesis
Description
Series/Report No
Department
Electrical Engineering
Organization
Naval Postgraduate School (U.S.)
Identifiers
NPS Report Number
Sponsors
Funding
Format
Citation
Distribution Statement
Approved for public release; distribution is unlimited.
Rights
Copyright is reserved by the copyright owner