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A prefiltering version of the Kalman filter with new numerical integration formulas for Riccati equationsA prefiltering version of the Kalman filter is derived for both discrete and continuous measurements. The derivation consists of determining a single discrete measurement that is equivalent to either a time segment of continuous measurements or a set of discrete measurements. This prefiltering version of the Kalman filter easily handles numerical problems associated with rapid transients and ill-conditioned Riccati matrices. Therefore, the derived technique for extrapolating the Riccati matrix from one time to the next constitutes a new set of integration formulas which alleviate ill-conditioning problems associated with continuous Riccati equations. Furthermore, since a time segment of continuous measurements is converted into a single discrete measurement, Potter's square root formulas can be used to update the state estimate and its error covariance matrix. Therefore, if having the state estimate and its error covariance matrix at discrete times is acceptable, the prefilter extends square root filtering with all its advantages, to continuous measurement problems.
Document ID
19750049287
Acquisition Source
Legacy CDMS
Document Type
Reprint (Version printed in journal)
Authors
Womble, M. E.
(Georgia Institute of Technology Atlanta, Ga., United States)
Potter, J. E.
(Northrop Corp. Electronics Div., Norwood, Mass., United States)
Date Acquired
August 8, 2013
Publication Date
June 1, 1975
Publication Information
Publication: IEEE Transactions on Automatic Control
Volume: AC-20
Subject Category
Cybernetics
Accession Number
75A33359
Funding Number(s)
CONTRACT_GRANT: NAS9-10386
Distribution Limits
Public
Copyright
Other

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