Kalman filtering with constrained output injection
J. Chandrasekar, Dennis S. Bernstein, Oscar Barrero, Bart L. R. De Moor · International Journal of Control · 2007
In applications involving large scale systems such as discretized partial differential equations, it is often of interest to use data to estimate state variables associated with a subregion of the spatial domain. In this paper we derive an extension of the classical Kalman filter in which data injection is confined to a subspace of the system states.