State Estimation and Divergence Analysis

A growing memory discrete dynamic model for performing temporal extrapolations along a predetermined path in a random field is presented. This dynamic model is used to drive a linear system that is itself driven by discrete white noise. The coupled system is used to derive a state estimation scheme that recursively processes noisy measurements of the system. In addition, using the aforementioned dynamic model as a reference (truth) model, the authors develop a covariance analysis to measure the estimation errors that occur when the dynamics along the path through the field are modeled as a Markov linear model and state estimation is performed using discrete Kalman filtering. The performance evaluation of an inertial navigation system influenced by the Earth's gravity field aboard a maneuvering ship is provided as a specific illustrative example.