Properties of Matched and Mismatched Kalman Filters.
Michael Athans, D. Willner · Defense Technical Information Center (DTIC) · 1976
The purpose of this report is to examine the properties of Kalman-Bucy filters, especially in the case of mismatching, i.e., when the nominal parameters used in the realization of the Kalman-Bucy filter are different from the actual plant parameters. In such cases, the mismatched filters give rise to bias and RMS errors. By making tests upon signals that appear in the filter, e.g., the residuals, one can detect the existence of mismatching. Hence, by knowing the properties of both matched and mismatched filters, one can then attempt to correct the estimates of the mismatched filters by on-line signal processing. (Author)