The deterministic interpretation of the Kalman Filter
The deterministic interpretation of the Kalman Filter
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
Kalman Filter, Deterministic systems
1-15
Buchstaller, Dominic
a73fb875-97b5-4fd9-a8c8-591efe28636d
Li, Jing
fafa4088-5b81-4c81-9228-ae4da619d9ff
French, Mark
22958f0e-d779-4999-adf6-2711e2d910f8
Buchstaller, Dominic
a73fb875-97b5-4fd9-a8c8-591efe28636d
Li, Jing
fafa4088-5b81-4c81-9228-ae4da619d9ff
French, Mark
22958f0e-d779-4999-adf6-2711e2d910f8
Buchstaller, Dominic, Li, Jing and French, Mark
(2014)
The deterministic interpretation of the Kalman Filter.
Systems & Control Letters, .
(Submitted)
Abstract
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
Identifiers
Local EPrints ID: 361768
URI: http://eprints.soton.ac.uk/id/eprint/361768
PURE UUID: 8d6e0d13-2c21-4c87-a38b-0c39b52282d6
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Date deposited: 03 Feb 2014 11:50
Last modified: 11 Dec 2021 03:34
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Contributors
Author:
Dominic Buchstaller
Author:
Jing Li
Author:
Mark French
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