Kalman-filter divergence due to process-noise decoupling

1 January 1974

journal article
Published by Institution of Engineering and Technology (IET) in Proceedings of the Institution of Electrical Engineers

Vol. 121 (6) , 525-528
https://doi.org/10.1049/piee.1974.0125

Abstract

The paper discusses a Kalman-filter divergence problem, caused by the partial decoupling of the process-noise covariance. A simple method for determining the optimum observation matrix is presented. The effectiveness of the procedure is illustrated by a computer simulation.

Keywords

OPTIMUM OBSERVATION MATRIX
PROCESS NOISE DECOUPLING
KALMAN FILTER DIVERGENCE
STATE ESTIMATION
COMPUTER SIMULATION