Performance loss and design method of Kalman filters for discrete-time linear systems with uncertainties†
Yoshikazu SAWARAGI, Tohru Katayama · International Journal of Control · 1970
This paper is divided into two parts. The first part is concerned with the performance loss of the discrete-time Kalman filter designed on the basis of the model with errors in both dynamical and observation systems. The difference equation which describes the evolution of the covariance matrix of actual estimation error is derived. Some numerical results are shown as the illustration of the technique. The second half is devoted to the development of the method of designing the unbiased minimum variance linear filter for the random system whose elements of both the transition and observation matrices are Gaussian white noises. For this purpose the result of the first part is utilized.