Kalman filters with moving horizons

칼만필터의 응용에 관한 연구

This paper deals with a modified Kalman filter. An approaching horizon with a suitable initial condition will be considered, which is a little different from the classical Kalman filter. It will be shown in this paper that the new filter with approaching horizons is not only easy to computer but also possesses asymptotic stability properties. Thus this new estimatoris an excellent compromise between the ease of computation and the strict sense of optimality. When this estimator is used for the standard problem, the error covariance bound has been obtained. It is shown that the new estimator can be used as a suboptimal estimator which has a stability property. It is also demonstrated that the steady state Kalman filter can be obtained from the moving horizon estimator by taking the horizon parameter as infinity.