Linearized reduced-order filtering
- 1 March 1988
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 33 (3) , 310-313
- https://doi.org/10.1109/9.412
Abstract
A reduced-order version of extended Kalman filtering is presented in which both the filtering equation and the associated Riccati equation have been reduced in dimension to allow for real-time processing. The procedure for designing the reduced-order filter is similar to that for designing the extended Kalman filter, the same approximations being applied. One technique useful for limiting the computational burden in a linearized filter design problems is presented and illustrated by an example. The primary limitation of the result is that the nonlinearity must be in terms of the vector to be estimated.Keywords
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