Optimal multistage Kalman estimators

Fu-Chuang Chen; Chien Shu Hsieh

doi:10.1109/9.887678

Optimal multistage Kalman estimators

Fu-Chuang Chen, Chien Shu Hsieh

電機工程學系

研究成果: Article › 同行評審

24 引文斯高帕斯（Scopus）

摘要

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.

原文	English
文章編號	887678
頁（從 - 到）	2182-2188
頁數	7
期刊	IEEE Transactions on Automatic Control
卷	45
發行號	11
DOIs	https://doi.org/10.1109/9.887678
出版狀態	Published - 1 11月 2000

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Optimal multistage Kalman estimators

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