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Accession Number:
AD0656396
Title:
ESTIMATION USING SAMPLED-DATA CONTAINING SEQUENTIALLY CORRELATED NOISE.
Corporate Author:
HARVARD UNIV CAMBRIDGE MASS DIV OF ENGINEERING AND APPLIED PHYSICS
Report Date:
1967-06-01
Abstract:
The paper presents improved filtering, prediction, and smoothing procedures for multi-stage linear dynamic systems when the measured quantities are linear combinations of the state variables with additive sequentially correlated noise. The augmented state procedure suggested by Kalman may lead to ill-conditioned computations in constructing the data processing filter. The design procedure described here eliminates these ill-conditioned computations and reduces the dimension of the filter required. The results include explicit relations for prediction, filtering, and smoothing procedures and the associated covariance matrices. Author
Descriptive Note:
Technical rept.,
Pages:
0019
Contract Number:
Nonr-1866(16)
Contract Number 2:
NR-22-007-068
File Size:
0.00MB
