Optimal multistage Kalman estimators

標題:	Optimal multistage Kalman estimators
作者:	Chen, FC Hsieh, CS 電控工程研究所 Institute of Electrical and Control Engineering
關鍵字:	augmented state Kalman estimator;multistage Kalman estimator;optimal filter;two-stage Kalman estimator
公開日期:	1-十一月-2000
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.
URI:	http://dx.doi.org/10.1109/9.887678 http://hdl.handle.net/11536/30143
ISSN:	0018-9286
DOI:	10.1109/9.887678
期刊:	IEEE TRANSACTIONS ON AUTOMATIC CONTROL
Volume:	45
Issue:	11
起始頁:	2182
結束頁:	2188
顯示於類別：	期刊論文

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