The Mathematical Institute, University of Oxford, Eprints Archive

Kalman filtering in the presence of State Space Equality Constraints

Gupta, Nachi (2007) Kalman filtering in the presence of State Space Equality Constraints. Technical Report. Unspecified. (Submitted)

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Abstract

We discuss two separate techniques for Kalman Filtering in the presence of state space equality constraints. We then prove that despite the lack of similarity in their formulations, under certain conditions, the two methods result in mathematically equivalent constrained estimate structures. We conclude that the potential benefits of using equality constraints in Kalman Filtering often outweigh the computational costs, and as such, equality constraints, when present, should be enforced by way of one of these two methods.

Item Type:Technical Report (Technical Report)
Subjects:H - N > Numerical analysis
Research Groups:Numerical Analysis Group
ID Code:1088
Deposited By:Lotti Ekert
Deposited On:07 May 2011 09:03
Last Modified:07 May 2011 09:03

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