A Parallel Processing Structure for the Discrete Kalman Filter

이산 칼만 필터의 병렬처리 구조

A parallel processing algorithm for the discrete Kalman filter, which is one of the most commonly used filtering techniques in modern control, signal processing, and communication, is proposed. To decrease the number of computations critical in the Kalman filter, previously proposed parallel algorithms are of the hierarchical structure by distributed processing of measurements, or of the systolic structure to disperse the computational burden. In this paper, a new parallel Kalman filter employing a structure similar to recursive doubling is proposed. Estimated valuse of state variables by the new algorithm converge faster to the true values because the new algorithm can process data twice faster than the conventional Kalman filter. Moreover, it maintains the optimality of the conventional Kalman filter.