The deterministic interpretation of the Kalman Filter

Dominic Buchstaller, Jing Lui, Mark French

Research output: Contribution to journalArticlepeer-review

9 Citations (Scopus)

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 languageEnglish
Pages (from-to)3226-3236
Number of pages10
JournalINTERNATIONAL JOURNAL OF CONTROL
Volume94
Issue number11
Early online date30 Apr 2020
DOIs
Publication statusPublished - 1 Apr 2021

Keywords

  • Kalman Filter, Deterministic systems

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