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ESTIMATION OF STEADY-STATE KALMAN FILTER GAIN
Author(s): 
Pages: 122-126
Year: Issue:  1
Journal: Control Theory & Applications

Keyword:  新息Kalman滑动平均离散系统数阵滤波发散观测噪声矩阵求逆离散时间系统零均值;
Abstract: This paper presents a new method for estimating the steady-state Kalman filter gain for linear discrete systems. It consists of three parts; (i) An ARMAX innovation model is derived using Fadeeva’s scheme for computing inverse miatrix; (ii) the moving average parameter matrices in ARMAX innovation model are identified by using Gevers and Wouters’ algorithm which ensures the invertability of the innovation model; (iii) a new algorithm for estimating the steady -state filter gain is given, which is simpler than Tajima’s.
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