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The deterministic interpretation of the Kalman Filter

Buchstaller, Dominic, Li, Jing and French, Mark (2014) The deterministic interpretation of the Kalman Filter Systems and Control Letters, pp. 1-15.

Record type: Article


It is known that the Kalman Filter has both stochastic and deterministic interpretations, whereby the deterministic interpretation relates the prediction of the filter to the response of the plant driven by the minimizing least squares disturbances acting thereon. Whilst the deterministic interpretation is known, the contribution of this note is to provide an alternative, simple and self-contained proof of these properties in the discrete case. The presentation allows an efficient derivation of the key deterministic properties. Results are given for both zero and non-zero initial conditions

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Submitted date: 2014
Keywords: Kalman Filter, Deterministic systems
Organisations: Southampton Wireless Group


Local EPrints ID: 361768
PURE UUID: 8d6e0d13-2c21-4c87-a38b-0c39b52282d6

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Date deposited: 03 Feb 2014 11:50
Last modified: 11 Jul 2017 09:48

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Author: Dominic Buchstaller
Author: Jing Li
Author: Mark French

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