Reduced order Kalman filter†
- 1 November 1969
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 10 (5) , 501-509
- https://doi.org/10.1080/00207176908905851
Abstract
The order of the Kalman filter equations for a wide class of aerospace navigation problems is reduced, yielding an optimal sequential linear filter with a substantial decrease in computer requirements. A theorem is proved generalizing the Kalman filter to handle step-wise correlated noise. An illustrative example is then presented in which computer computation time and storage requirements are reduced by more than half with negligible increase in programming complexity.Keywords
This publication has 3 references indexed in Scilit:
- Lower order optimal linear filtering of nonstationary random sequencesIEEE Transactions on Automatic Control, 1968
- Reducibility of Linear SystemsIEEE Transactions on Applications and Industry, 1963
- A New Approach to Linear Filtering and Prediction ProblemsJournal of Basic Engineering, 1960