Closed-form solution for the Kalman filter gains of time-varyingsystems |
| |
Authors: | Rusnak I |
| |
Institution: | Haifa, Israel; |
| |
Abstract: | A method for derivation of closed-form solutions for the differential Riccati matrix equation for specific time-varying systems is presented. It allows more insight into the nature of the solution. It reduces the on-line computation requirements, since it does not require on-line solution of a differential equation. Sufficient conditions for the existence of the closed-form solution are given. The method is applied to a target tracking problem |
| |
Keywords: | |
|
|