Accession Number : AD0706725

Title :   ON THE IMPLEMENTATION OF REDUCED SUB-OPTIMAL KALMAN FILTERS, FOR DISCRETE, LINEAR, STOCHASTIC PROCESSES WITH TIME-INVARIANT DYNAMICS.

Descriptive Note : Master's thesis,

Corporate Author : NAVAL POSTGRADUATE SCHOOL MONTEREY CALIF

Personal Author(s) : Lara,Jaun Francisco

Report Date : DEC 1969

Pagination or Media Count : 133

Abstract : Three different approaches to the problem of implementing a reduced-order, sub-optimal Kalman filter for a discrete, linear stochastic process, with time-invariant dynamics, are presented. A first method, A, is based upon the partitioning of the system dynamics. A second method, B, is implemented using matrix pseudo-inversion and a third method, C, is based upon reduction of the original process to one of lower order using the dominant roots of the system. An expression for the performance degradation in method A is derived. In method B, expression for the sub-optimal estimation error, and sub-optimal variance of estimation error are derived. The several methods are applied to a fourth-order process for illustration. (Author)

Descriptors :   (*CONTROL SYSTEMS, MATHEMATICAL MODELS), ADAPTIVE CONTROL SYSTEMS, DIFFERENTIAL EQUATIONS, NUMERICAL ANALYSIS, STOCHASTIC PROCESSES, DECISION THEORY, LINEAR SYSTEMS, COMPUTER PROGRAMS, THESES

Subject Categories : Statistics and Probability
      Test Facilities, Equipment and Methods

Distribution Statement : APPROVED FOR PUBLIC RELEASE