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Singular perturbation method for Kalman filter in discrete systems

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2 Author(s)
Kailasa Rao, A. ; Indian Institute of Technology, Department of Electrical Engineering, Kharagpur, India ; Naidu, D.S.

A singularly perturbed, linear, discrete, optimal, stochastic control problem is considered. The resulting equations for the Kalman filter for the dynamic and steady-state conditions are formulated. A singular-perturbation method is developed to obtain approximate solutions in terms of an outer series and a correction series. Examples are given to illustrate the proposed method.

Published in:

Control Theory and Applications, IEE Proceedings D  (Volume:131 ,  Issue: 1 )