Optimal multistage Kalman estimators

Fu-Chuang Chen, Chien Shu Hsieh

研究成果: Article

19 引文 斯高帕斯(Scopus)


An optimal multistage Kalman estimator (OMSKE) is proposed as a generalization of the optimal two-stage Kalman estimator for the reduction of the computational burden of the Kalman estimator (KE) for discrete-time linear time-varying systems with triangular transition matrices. This new filter is obtained by applying a multistage U - V transformation to decouple the covariances of the KE. It is shown analytically that the computational complexity of the OMSKE is less than that of the KE and is minimum when the system transition matrix has the maximum stage number.

頁(從 - 到)2182-2188
期刊IEEE Transactions on Automatic Control
出版狀態Published - 1 十一月 2000

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