State matrix kalman filter Conference Paper uri icon

abstract

  • The paper presents a general discrete-time Kalman filter for state matrix estimation using matrix measurements. The new algorithm evaluates the state matrix estimate and the estimation error covariance matrix in terms of the original system matrices. The proposed algorithm naturally fits systems which are most conveniently described by matrix process and measurement equations. Its formulation uses a compact notation for aiding both intuition and mathematical manipulation. It is a straightforward extension of the classical Kalman filter, and includes as special cases other matrix filters that were developed in the past.

publication date

  • January 1, 2003