A note on Kalman-Bucy filters with zero measurement noise
- 1 June 1974
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 19 (3) , 263-264
- https://doi.org/10.1109/tac.1974.1100570
Abstract
The limiting form of the Kalman-Bucy filter as measurement noise tends to zero does not, in general, correspond to the optimal filter derived assuming zero measurement noise. This may be considered to be due to a difference in initial conditions.Keywords
This publication has 3 references indexed in Scilit:
- The maximally achievable accuracy of linear optimal regulators and linear optimal filtersIEEE Transactions on Automatic Control, 1972
- Linear filtering for time-varying systems using measurements containing colored noiseIEEE Transactions on Automatic Control, 1965
- New Results in Linear Filtering and Prediction TheoryJournal of Basic Engineering, 1961