Optimal multistage Kalman estimators

Fu-Chuang Chen, Chien Shu Hsieh

Research output: Contribution to journalArticlepeer-review

24 Scopus citations


An optimal multistage Kalman estimator (OMSKE) is proposed as a generalization of the optimal two-stage Kalman estimator for the reduction of the computational burden of the Kalman estimator (KE) for discrete-time linear time-varying systems with triangular transition matrices. This new filter is obtained by applying a multistage U - V transformation to decouple the covariances of the KE. It is shown analytically that the computational complexity of the OMSKE is less than that of the KE and is minimum when the system transition matrix has the maximum stage number.

Original languageEnglish
Article number887678
Pages (from-to)2182-2188
Number of pages7
JournalIEEE Transactions on Automatic Control
Issue number11
StatePublished - 1 Nov 2000


Dive into the research topics of 'Optimal multistage Kalman estimators'. Together they form a unique fingerprint.

Cite this