A modified adaptive Kalman filter for real-time applications

Guanrong Chen; Charles K. Chui

doi:10.1109/7.68157

A modified adaptive Kalman filter for real-time applications

IEEE Transactions on Aerospace and Electronic Systems 27(1): 149-154

Article 1991 English

Abstract

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A modified adaptive Kalman filtering algorithm is derived for the standard linear problem under an irregular environment where all variances of the zero-mean Gaussian white (system and observation) noises are unknown a priori. This algorithm has certain merits over various existing adaptive schemes in that it is simple, efficient, and suitable for real-time applications. An illustrative numerical example is presented.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">></ETX>

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