Kalman Filtering in the Presence of State Space Equality Constraints

Details Kalman Filtering in the Presence of State Space Equality Constraints Kalman Filtering in the Presence of State Space Equality Constraints

2007-05-31

arxiv.org/abs/0705.4563v1

Physics

Atmospheric and Oceanic Physics

7 pages, to appear in the IEEE Proceedings of the 26th Chinese Control Conference (2007)

Scientific paper

We discuss two separate techniques for Kalman Filtering in the presence of state space equality constraints. We then prove that despite the lack of similarity in their formulations, under certain conditions, the two methods result in mathematically equivalent constrained estimate structures. We conclude that the potential benefits of using equality constraints in Kalman Filtering often outweigh the computational costs, and as such, equality constraints, when present, should be enforced by way of one of these two methods.

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