Accession Number:

ADA495220

Title:

Kalman Filter Modeling

Descriptive Note:

Conference paper

Corporate Author:

IOWA STATE UNIV AMES DEPT OF ELECTRICAL AND COMPUTER ENGINEERING

Personal Author(s):

Report Date:

1984-11-01

Pagination or Media Count:

13.0

Abstract:

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.

Subject Categories:

  • Electricity and Magnetism

Distribution Statement:

APPROVED FOR PUBLIC RELEASE