The Mathematical Institute, University of Oxford, Eprints Archive

Kalman Filtering with Equality and Inequality State Constraints

Gupta, Nachi and Hauser, Raphael (2007) Kalman Filtering with Equality and Inequality State Constraints. Technical Report. Unspecified. (Submitted)

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Abstract

Both constrained and unconstrained optimization problems regularly appear in recursive tracking problems engineers currently address - however, constraints are rarely exploited for these applications. We define the Kalman Filter and discuss two different approaches to incorporating constraints. Each of these approaches are first applied to equality constraints and then extended to inequality constraints. We discuss methods for dealing with nonlinear constraints and for constraining the state prediction. Finally, some experiments are provided to indicate the usefulness of such methods.

Item Type:Technical Report (Technical Report)
Subjects:H - N > Numerical analysis
Research Groups:Numerical Analysis Group
ID Code:1084
Deposited By:Lotti Ekert
Deposited On:07 May 2011 09:04
Last Modified:07 May 2011 09:04

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