Kalman Filter Modeling
IOWA STATE UNIV AMES DEPT OF ELECTRICAL AND COMPUTER ENGINEERING
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The main emphasis of this tutorial paper is on the formulation of appropriate state-space models for Kalman filtering applications. The so-called model is completely specified by four matrix parameters and the initial conditions of the recursive equations. Once these are determined, the die is cast, and the way in which the measurements are weighted is determined forever after. Thus, finding a model that fits the physical situation at hand is all important. Also, it is often the most difficult aspect of designing a Kalman filter. Formulation of discrete state models from the spectral density and ARMA random process descriptions is discussed. Finally, it is pointed out that many common processes encountered in applied work such as band-limited white noise simply do not lend themselves very well to Kalman filter modeling.
- Electricity and Magnetism