Improved discrete-time Kalman filtering within singular value decomposition

This study presents a new Kalman filter (KF) implementation useful in applications where the accuracy of numerical solution of the associated Riccati equation might be crucially reduced by influence of roundoff errors. Since the appearance of the KF in 1960s, it has been recognised that the factored...

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Veröffentlicht in:	IET control theory & applications Jg. 11; H. 15; S. 2412 - 2418
Hauptverfasser:	Kulikova, Maria V, Tsyganova, Julia V
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	The Institution of Engineering and Technology 13.10.2017
Schlagworte:	Cholesky decomposition covariance matrices discrete time systems discrete‐time Kalman filtering error covariance matrix Kalman filter implementation Kalman filters KF implementation matrix factorisation method numerical stability numerical stability issues Research Article Riccati equation Riccati equations roundoff errors singular value decomposition square‐root algorithms SVD‐based KF variant SVD‐based strategy covariance matrices error covariance matrix discrete-time Kalman filtering Kalman filter implementation SVD-based strategy discrete time systems numerical stability issues numerical stability SVD-based KF variant Cholesky decomposition matrix factorisation method Riccati equations square-root algorithms roundoff errors Kalman filters Riccati equation singular value decomposition KF implementation
ISSN:	1751-8644, 1751-8652
Online-Zugang:	Volltext
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