Accession Number : AD0819033

Title :   KALMAN FILTER PERFORMANCE DEGRADATION WITH AN ERRONEOUS PLANT MODEL.

Descriptive Note : Master's thesis,

Corporate Author : NAVAL POSTGRADUATE SCHOOL MONTEREY CA

Personal Author(s) : Nofziger, Larry Blayne ; Devins, Gerald Lee

Report Date : JUN 1967

Pagination or Media Count : 60

Abstract : This investigation is concerned with the effects of employing a Kalman filter to estimate the states in a system for which the mathematical model is inaccurate. Consideration is given to both intentional and unintentional mis-identification of parameters in the assumed plant dynamics. An algorithm consisting of four matrix equations is derived which yields the actual covariance of estimation error when errors in the assumed model are known. Depending upon the gain sequence used, the derived equations can be used to either (1) produce optimal estimates when errors are deliberate or (2) aid in the determination of mis-identification costs in terms of filter performance degradation if the relative accuracy of parameter identification is known. Analytic examples of scalar cases are included, as well as computer simulations for specific higher order systems, including the employment of a second order filter model with a fourth order plant. (Author)

Descriptors :   *SEQUENTIAL ANALYSIS), (*MATHEMATICAL MODELS, ERRORS), (*MATRICES(MATHEMATICS), ALGORITHMS, ITERATIONS, SENSITIVITY, DIGITAL COMPUTERS, SIMULATION, THESES, DYNAMICS, STATISTICAL ANALYSIS, DIFFERENTIAL EQUATIONS, DEGRADATION, PERFORMANCE(ENGINEERING), EQUATIONS, ANALYSIS OF VARIANCE.

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE