Title

Reduced Order Kalman Filtering without Model Reduction

Document Type

Article

Publication Date

2007

Publication Title

Control & Intelligent Systems

Abstract

This paper presents all optimal discrete time reduced order Kalman filter. The reduced order filter is used to estimate a linear combination of a subset of the state vector. Most previous approaches to reduced order filtering rely on a reduction of the model order. However, this paper takes the full model order into account. The reduced order filter is obtained by minimizing the trace of the estimation error covariance.

Original Citation

Simon, D. D. (2007). Reduced Order Kalman Filtering without Model Reduction. Control & Intelligent Systems, 35(2), 169-174.

Volume

35

Issue

2