期刊
SIAM REVIEW
卷 54, 期 4, 页码 801-823出版社
SIAM PUBLICATIONS
DOI: 10.1137/100799666
关键词
Kalman filter; state estimation; control theory; systems theory; Newton's method
资金
- National Science Foundation [DMS-CSUMS-0639328, DMS-CAREER-0847074]
- Direct For Mathematical & Physical Scien [0847074] Funding Source: National Science Foundation
In this paper, we discuss the Kalman filter for state estimation in noisy linear discrete-time dynamical systems. We give an overview of its history, its mathematical and statistical formulations, and its use in applications. We describe a novel derivation of the Kalman filter using Newton's method for root finding. This approach is quite general as it can also be used to derive a number of variations of the Kalman filter, including recursive estimators for both prediction and smoothing, estimators with fading memory, and the extended Kalman filter for nonlinear systems.
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