Design of Kalman Filter via BPF

블록펄스함수를 이용한 칼만필터설계

This paper presents a method to design Kalman filter on continuous stochastic dynamical systems via BPFT(block pulse functions transformation). When we design Kalman filter, minimum error valiance matrix is appeared as a form of nonlinear matrix differential equations. Such equations are very difficult to obtain the solutions. Therefore, in this paper, we simply obtain the solutions of nonlinear matrix differential equations from recursive algebraic equations using BPFT. We believe that the presented method is very attractive and proper for the evaluation of Kalman gain on continuous stochastic dynamical systems.