Abstract
It is known that the Kalman Filter has both stochastic and deterministic interpretations, whereby the deterministic interpretation relates the prediction of the filter to the response of the plant driven by the minimizing least squares disturbances acting thereon. Whilst the deterministic interpretation is known, the contribution of this note is to provide an alternative, simple and self-contained proof of these properties in the discrete case. The presentation allows an efficient derivation of the key deterministic properties. Results are given for both zero and non-zero initial conditions
Original language | English |
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Pages (from-to) | 3226-3236 |
Number of pages | 10 |
Journal | INTERNATIONAL JOURNAL OF CONTROL |
Volume | 94 |
Issue number | 11 |
Early online date | 30 Apr 2020 |
DOIs | |
Publication status | Published - 1 Apr 2021 |
Keywords
- Kalman Filter, Deterministic systems