Optimal solution of the two-stage Kalman estimator
- 1 January 1999
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 44 (1) , 194-199
- https://doi.org/10.1109/9.739135
Abstract
The two-stage Kalman estimator was originally proposed to reduce the computational complexity of the augmented state Kalman filter. It was also applied to the tracking of maneuvering targets by treating the target acceleration as a bias term. Except in certain restrictive conditions, the conventional two-stage estimators are suboptimal in the sense that they are not equivalent to the augmented state filter. In this paper, the authors propose a new two-stage Kalman estimator, i.e., new structure, which is an extension of Friedland's estimator and is optimal in general conditions. In addition, we provide some analytic results to demonstrate the computational advantages of two-stage estimators over augmented ones.Keywords
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