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Reconciling steady-state Kalman and alpha-beta filter design

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Title: Reconciling steady-state Kalman and alpha-beta filter design
Author: Painter, John H.; Kerstetter, D.; Jowers, S.
Abstract: The deterministic design of the alpha-beta filter and the stochastic design of its Kalman counterpart are placed on a common basis. The first step is to find the continuous-time filter architecture which transforms into the alpha-beta discrete filter via the method of impulse invariance. This yields relations between filter bandwidth and damping ratio and the coefficients, α and β. In the Kalman case, these same coefficients are related to a defined stochastic signal-to-noise ratio and to a defined normalized tracking error variance. These latter relations are obtained from a closed-form, unique, positive-definite solution to the matrix Riccati equation for the tracking error covariance. A nomograph is given that relates the stochastic and deterministic designs.
Description: ©1990 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.
Publisher: IEEE
Subject: Kalman filters
network synthesis
signal processing
stochastic systems
Department: Aerospace Engineering
URI: 10.1109/7.62250
Date: 1990-11


Painter, J.H., Kerstetter, D., Jowers, S. (1990). Reconciling steady-state Kalman and alpha-beta filter design. IEEE Transactions on Aerospace and Electronic Systems, vol.26, issue 6: 986-991.

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