uivalence of Two Kinds of Kalman Tracking Filters Based on the ARMA Innovation Model and Riccati Equation
Meng Hua · Science Technology and Engineer · 2004
abstractr the target tracking system with the position and velocity measurements, the steady-state Kalman filter gain is computed by two methods based on the ARMA innovation model and based on the Riccati equation, respectively. The equivalence of two methods is verified via simulation. Notice that constructing the ARMA innovation model, a left-coprime factorization to a polynomial matrix must be performed, so that the ARMA innovation model can correctly be obtained. Otherwise the mistaking filtering result is follow on.