4. Linear Optimal Filters and Predictors

  1. Mohinder S. Grewal1 and
  2. Angus P. Andrews2

Published Online: 29 JAN 2008

DOI: 10.1002/9780470377819.ch4

Kalman Filtering, Third Edition, Third Edition

Kalman Filtering, Third Edition, Third Edition

How to Cite

Grewal, M. S. and Andrews, A. P. (2008) Linear Optimal Filters and Predictors, in Kalman Filtering, Third Edition, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470377819.ch4

Author Information

  1. 1

    California State University at Fullerton, USA

  2. 2

    Rockwell Science Center, USA

Publication History

  1. Published Online: 29 JAN 2008
  2. Published Print: 25 AUG 2008

ISBN Information

Print ISBN: 9780470173664

Online ISBN: 9780470377819

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Keywords:

  • linear optimal filters and predictors;
  • matrix Riccati differential equation;
  • transformed state variables and model equations

Summary

This chapter contains sections titled:

  • Chapter Focus

  • Kalman Filter

  • Kalman–Bucy Filter

  • Optimal Linear Predictors

  • Correlated Noise Sources

  • Relationships Between Kalman–Bucy and Wiener Filters

  • Quadratic Loss Functions

  • Matrix Riccati Differential Equation

  • Matrix Riccati Equation In Discrete Time

  • Model Equations for Transformed State Variables

  • Application of Kalman Filters

  • Summary

  • Problems