Kalman filtering simulation via numerical solution of the associated matrix differential equations

@inproceedings{Camp1971KalmanFS,
  title={Kalman filtering simulation via numerical solution of the associated matrix differential equations},
  author={Jerome A. Camp},
  year={1971}
}
Abstract Using the fundamental relations of Kalman's approach to optimal filtering, a digital computer simulation of the Kalman filtering process is developed. The simulation consists of numerical integration of the solution of the matrix differential equations describing the linear system random process model and the optimum filter. As a prelude to this, a brief presentation of the fundamental concepts underlying the derivation of Kalman filtering theory is given. An assumption basic to this… CONTINUE READING

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