Chapter 2. Linear Dynamic Systems

  1. Mohinder S. Grewal PhD, PE1 and
  2. Angus P. Andrews PhD2

Published Online: 28 MAY 2002

DOI: 10.1002/0471266388.ch2

Kalman Filtering: Theory and Practice Using MATLAB ®, Second Edition

Kalman Filtering: Theory and Practice Using MATLAB ®, Second Edition

How to Cite

Grewal, M. S. and Andrews, A. P. (2002) Linear Dynamic Systems, in Kalman Filtering: Theory and Practice Using MATLAB ®, Second Edition, John Wiley & Sons, Inc., New York, USA. doi: 10.1002/0471266388.ch2

Author Information

  1. 1

    California State University at Fullerton

  2. 2

    Rockwell Science Center, Thousand Oaks, California

Publication History

  1. Published Online: 28 MAY 2002
  2. Published Print: 2 JAN 2002

ISBN Information

Print ISBN: 9780471392545

Online ISBN: 9780471266389

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Keywords:

  • dynamic systems;
  • continuous linear systems;
  • discrete linear systems;
  • solutions;
  • observability;
  • matrix exponentials

Summary

The whole of dynamic system theory is a subject of considerably more scope than one needs for the present undertaking (Kalman filtering). This chapter will stick to just those concepts that are essential for that purpose, which is the development of the state-space representation for dynamic systems described by a systems of linear differential equations. These are given a somewhat heuristic treatment, without the mathematical rigor often accorded the subject, omitting the development and use of the transform methods of functional analysis for solving differential equations when they serve no purpose in the derivation of the Kalman filter.