Discrete-time Kalman filter under incorrect noise covariances

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dc.contributor.author Saab, Samer S.
dc.date.accessioned 2019-08-09T11:21:53Z
dc.date.available 2019-08-09T11:21:53Z
dc.date.copyright 1995 en_US
dc.date.issued 2019-08-09
dc.identifier.isbn 0780324455 en_US
dc.identifier.uri http://hdl.handle.net/10725/11208
dc.description.abstract The optimum filtering results of Kalman filtering for linear dynamic systems require an exact knowledge of the process noise covariance matrix Q, the measurement noise covariance matrix R and the initial error covariance matrix P/sub 0/. In a number of practical solutions, Q, R and P/sub 0/, are either unknown or are known only approximately. In this paper the sensitivity due to class of errors in the statistical modeling employing a Kalman filter is discussed. In particular, we present a special case where it is shown that Kalman filter gains can be insensitive to scaling of covariance matrices. Some basic results are derived to describe the mutual relations among the three covariance matrices (actual and perturbed covariance matrices), their respective Kalman gain K/sub k/ and the error covariance matrices P/sub k/. Experimental results using a tactical grade inertial measurement unit are presented to illustrate the theoretical results. en_US
dc.description.sponsorship American Automatic Control Council en_US
dc.description.sponsorship International Federation of Automatic Control en_US
dc.language.iso en en_US
dc.publisher IEEE en_US
dc.subject Automatic control -- Congresses en_US
dc.subject Digital control systems -- Congresses en_US
dc.subject Guidance systems (Flight) -- Congresses en_US
dc.title Discrete-time Kalman filter under incorrect noise covariances en_US
dc.type Conference Paper / Proceeding en_US
dc.author.school SOE en_US
dc.author.idnumber 199690250 en_US
dc.author.department Electrical And Computer Engineering en_US
dc.description.embargo N/A en_US
dc.publication.place Piscataway, N.J. en_US
dc.description.bibliographiccitations Includes bibliographical references. en_US
dc.identifier.doi http://dx.doi.org/10.1109/ACC.1995.520929 en_US
dc.identifier.ctation Saab, S. S. (1995, June). Discrete-time Kalman filter under incorrect noise covariances. In Proceedings of 1995 American Control Conference-ACC'95 (Vol. 2, pp. 1152-1156). IEEE. en_US
dc.author.email ssaab@lau.edu.lb en_US
dc.conference.date June 21-June 23, 1995 en_US
dc.conference.pages 1152-1156 en_US
dc.conference.place The Westin Hotel, Seattle, Washington en_US
dc.conference.title Proceedings of the 1995 American Control Conference en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url https://ieeexplore.ieee.org/abstract/document/520929 en_US
dc.orcid.id https://orcid.org/0000-0003-0124-8457 en_US
dc.publication.date 1995 en_US
dc.author.affiliation Lebanese American University en_US
dc.relation.numberofseries 2 en_US

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