The analytical expression for the steady-state solution to acontinuous-time Kalman filter with two state variables consideredby Ekstrand is found by directly solving the continuous-timealgebraic Ricatti equation.
Comments on "Analytical Steady-State Solution for a Continuous Time Kalman Filter"
IEEE Transactions on Aerospace and Electronic Systems ; AES-23 , 4 ; 596-597
1987-07-01
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Steady-state Kalman filter with correlated measurement noise-an analytical solution
Tema Archive | 1989
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