Analytical expressions are given for the steady-state solution to a continuous time Kalman filter for a two-state model where both states are measured. The solution is obtained by a limiting operation on the known solution for the corresponding discrete time case. The solution is visualized in two graphs. The filter transfer function is also given.
Analytical Steady-State Solution for a Continuous Time Kalman Filter
IEEE Transactions on Aerospace and Electronic Systems ; AES-21 , 6 ; 746-750
1985-11-01
873111 byte
Article (Journal)
Electronic Resource
English
Steady-state Kalman filter with correlated measurement noise-an analytical solution
Tema Archive | 1989
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