Formulation and implementation of a practical algorithm for non-stationary adaptive state estimation

Background information on the Kalman filter is given first. A discussion of the filter parameters and their a priori determination follows. The discussion points out the need for adaptive determination of the process noise statistics. The filter innovations are presented as a means for developing the adaptive criteria. The criteria center around the estimation of the true mean and covariance of the filter innovations. A method for the numerical approximation of the mean and covariance of a locally stationary random process is presented. The definition of a local stationarity is presented. Local stationarity allows for the separation of the process statistics into a stationary component and a time-varying component. The separation method is discussed. A method for estimating the stationary and time-varying components is presented. As an example of its application to real problems, the algorithm is applied to the problem to the problem of reentry trajectory estimation for the Space Shuttle. Both the adaptive algorithm and the steady-state Kalman filter are applied to the problem. The results of the reconstructions are presented. The adaptive algorithm exhibits superior performance.