Lessons in Estimation Theory for Signal Processing, Communications, and Control, Second Edition

Lesson 18 State Estimation: Filtering Examples

Summary

In this lesson we present seven examples that illustrate some interesting numerical and theoretical aspects of Kalman filtering. Example 18-1 demonstrates what is meant by a performance analysis. Example 18-2 introduces the notion of sensitivity and what is meant by a Kalman filter sensitivity system. Using this system it is possible to study (by simulations) how robust the Kalman filter is to small or large variations in the parameters of the basic state-variable model. Example 18-3 treats the single-input, single-output model, i.e., the single-channel case. It shows that signal-to-noise ratio can be viewed as a Kalman filter tuning parameter. Example 18-4 explains how the Kalman filter ...