Simple method for solving the constant gains of kalman filters with single output

Research output: Contribution to journalArticle

Abstract

A simple method is described for the calculation of the optimal gains for steady state Kalman filters in continuous- and discrete-time systems with single output. The procedure consists of comparing the optimal closed-loop characteristic polynomial with a determinant expansion containing the unknown constant gains. It is then shown that for the case when a computer program is not used for finding the roots of a polynomial, the optimal closed-loop characteristic polynomial in the discrete time problem is not as readily obtainable as that in the continuous-time problem, even though the system under consideration is of lower order. This drawback, however, is shown to be overcome by invoking the bilinear transformation.

Original languageEnglish
Pages (from-to)849-864
Number of pages16
JournalInternational Journal of Control
Volume46
Issue number3
DOIs
Publication statusPublished - 1987
Externally publishedYes

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Kalman filters
Polynomials
Computer program listings

ASJC Scopus subject areas

  • Computer Science Applications
  • Control and Systems Engineering

Cite this

Simple method for solving the constant gains of kalman filters with single output. / Watanabe, Keigo.

In: International Journal of Control, Vol. 46, No. 3, 1987, p. 849-864.

Research output: Contribution to journalArticle

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