NDLI: Practical Approaches to Kalman Filtering with Time-Correlated Measurement Errors

Content Provider	IEEE Xplore Digital Library
Author	Kedong Wang Yong Li Rizos, C.
Copyright Year	1965
Abstract	When the measurement errors in Kalman filtering are time correlated, time-differencing approaches are conventionally applied to deal with the time-correlated errors, but they are subject to practical limitations, such as time latency and numerical issues that stem from matrix inversion. This paper proposes two new algorithms to resolve the issues by augmenting the time-correlated elements of the measurement errors into the state vector. To avoid the singularity problem of the state error covariance matrix, the gain matrix is regularized in the first algorithm and a small positive quantity is added to the diagonal elements of the state error covariance matrix in the second algorithm. The two new state-augmented algorithms are easier to keep convergent and have no time latency. Two simulations with a one-degree model and a six degree-of-freedom model demonstrate the proposed algorithms.
Starting Page	1669
Ending Page	1681
Page Count	13
File Size	5474078
File Format	PDF
ISSN	00189251
Volume Number	48
Issue Number	2
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-04-01
Publisher Place	U.S.A.
Access Restriction	One Nation One Subscription (ONOS)
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Measurement errors Covariance matrix Vectors Filtering Approximation algorithms Mathematical model Measurement uncertainty
Content Type	Text
Resource Type	Article
Subject	Electrical and Electronic Engineering Aerospace Engineering

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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